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The January Effect is not Driven by Tax Loss Selling · Study

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ArticleThe January Effect is not Driven by Tax Loss Selling

Don R. Cox1998

Article1998

The January Effect is not Driven by Tax Loss Selling

Don R. Cox · Ken Johnston

20 citations·0/0 files stored·The Journal of Investing

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1981The relationship between return and market value of common stocks 1983Size-related anomalies and stock return seasonality 1976Capital market seasonality: The case of stock returns 1983The anomalous stock market behavior of small firms in January 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year 1983Vas Ist Das?1992The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias 1989Trading patterns, bid-ask spreads, and estimated security returns

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2005The Nepalese Stock Market: Efficient and Calendar Anomalies

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2002The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-yeararticle · 8 shared references 2007Is the January effect still alive in the futures markets?article · 8 shared references 1997Institutions and Individuals at the Turn-of-the-Yeararticle · 7 shared references 1993Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approacharticle · 7 shared references 1993Tax-Induced Trading and the Turn-of-the-Year Anomaly: An Intraday Studyarticle · 7 shared references 1995Chapter 17 On the predictability of common stock returns: World-wide evidencechapter · 7 shared references

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Year1998

Typearticle

Published1998-11-30

VenueThe Journal of Investing

ISSN-L1068-0896

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.3905/joi.1998.408480

openalex_workW1980722154

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