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TAX‐LOSS SELLING, INSTITUTIONAL INVESTORS, AND THE JANUARY EFFECT: A NOTE
9 references·3 citing·31 second hop
TAX‐LOSS SELLING, INSTITUTIONAL INVESTORS, AND THE JANUARY EFFECT: A NOTE (1993)TAX‐LOSS SELLING, INSTITUTIONAL INVESTORS…The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)The Buying and Selling Behavi…Risk and return (1984)Risk and returnVas Ist Das? (1983)Vas Ist Das?The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Seasonality in Australian capital markets (1975)Seasonality in Australian cap…Estimation of linear models with crossed-error structure (1974)Estimation of linear models w…Is the January effect rational? Insights from the accounting valuation model (2015)Is the January effect rationa…The January Effect is not Driven by Tax Loss Selling (1998)The January Effect is not Dri…Portfolio rebalancing, institutional ownership, and the small firm‐January effect (1996)Portfolio rebalancing, instit…Misspecification of capital asset pricing (1981)Efficient Capital Markets: II (1991)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Book Review: Time Series Analysis: Forecasting and Control (1977)Risk measurement when shares are subject to infrequent trading (1979)Risk, Return, and Equilibrium: Empirical Tests (1973)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)The Variation of Economic Risk Premiums (1991)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Winter Blues: A SAD Stock Market Cycle (2003)Statistical principles in experimental design. (1962)Predicting returns in the stock and bond markets (1986)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)The Use of Error Components Models in Combining Cross Section with Time Series Data (1969)Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Multinationality and Firm Performance: The Moderating Role of R&D and Marketing Capabilities (2002)Is Market Orientation a Source of Sustainable Competitive Advantage or Simply the Cost of Competing? (2010)The arbitrage theory of capital asset pricing (1976)Does the Stock Market Overreact? (1985)The Noise Trader Approach to Finance (1990)Investor Sentiment and the Closed-End Fund Puzzle (1991)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Behavior of Stock-Market Prices (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)The Nepalese Stock Market: Efficient and Calendar Anomalies (2005)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
this work references cited by second hop

References

  • 1981The relationship between return and market value of common stocks5,999 cited
  • 1983Size-related anomalies and stock return seasonality1,878 cited
  • 1976Capital market seasonality: The case of stock returns1,252 cited
  • 1983The anomalous stock market behavior of small firms in January862 cited
  • 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year482 cited
  • 1974Estimation of linear models with crossed-error structure478 cited
  • 1983Vas Ist Das?429 cited
  • 1984Risk and return325 cited
  • 1975Seasonality in Australian capital markets123 cited

Cited by

  • 1998The January Effect is not Driven by Tax Loss Selling20 cited
  • 1996Portfolio rebalancing, institutional ownership, and the small firm‐January effect19 cited
  • 2015Is the January effect rational? Insights from the accounting valuation model18 cited

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