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Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange

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References

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2001U.K. Financial Market Returns, 1955–200096 cited
1991Evidence on Tax-Motivated Securities Trading Behavior92 cited
2007Fear and the Fama-French Factors89 cited
1987Seasonality in the Risk-Return Relationship: Some International Evidence84 cited
2007Halloween or January? Yet another puzzle75 cited

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1990

Seasonality and size effects: The case of real-estate-related investment

66 cited

2011Beta, size and value effects on the JSE, 1994–200764 cited

2009Risk and the January effect61 cited

2002The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-199756 cited

1995Chapter 17 On the predictability of common stock returns: World-wide evidence56 cited

1998Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns55 cited

1998Taxes, dividend yields and returns in the UK equity market51 cited

1992An analysis of the January effect of united states, Taiwan and South Korean stock returns47 cited

1992STOCK MARKET SEASONALITY: SOME EVIDENCE FROM THE PACIFIC‐BASIN COUNTRIES47 cited

2007Wycena papierów wartościowych na rynku kapitałowym w świetle finansów behawioralnych42 cited

2006On the Information Uncertainty Risk and the January Effect*37 cited