Article1991

New Evidence on The January Effect Before Personal Income Taxes

72 citations0/0 files storedThe Journal of Finance

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Abstract

ABSTRACT We examine the returns of stocks in Cowles Industrial Index before and after the introduction of personal income taxes in 1917. This is distinct from earlier studies because we cross‐sectionally analyze the relationship between the returns of the individual stocks and measures of tax‐loss selling potential and size. We find that excess returns at the turn‐of‐the‐year and for the month of January were not significant until after 1917. These results provide strong support for the tax‐loss selling hypothesis as an explanation for the January seasonal in the returns of small firms.

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1999A November Effect? Revisiting the Tax-Loss-Selling Hypothesis 2009Risk and the January effect 1995Chapter 17 On the predictability of common stock returns: World-wide evidence 2006Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements 1997On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market 2007Preferred habitat for liquidity in international short-term interest rates

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