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Can Tax-Loss Selling Explain the January Effect? A Note*

* This paper is a replication of an original study

Author

Listed:
  • Jones, Charles P
  • Pearce, Douglas K
  • Wilson, Jack W

Abstract

No abstract is available for this item.

Suggested Citation

  • Jones, Charles P & Pearce, Douglas K & Wilson, Jack W, 1987. "Can Tax-Loss Selling Explain the January Effect? A Note," Journal of Finance, American Finance Association, vol. 42(2), pages 453-461, June.
    • Handle: RePEc:bla:jfinan:v:42:y:1987:i:2:p:453-61
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    Citations

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    Cited by:

    1. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    2. Steffen Meyer & Michaela Pagel, 2017. "Fresh Air Eases Work – The Effect of Air Quality on Individual Investor Activity," NBER Working Papers 24048, National Bureau of Economic Research, Inc.
    3. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    4. Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 63-71.
    5. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics 119142, London School of Economics and Political Science, LSE Library.
    6. Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014. "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 56-68.
    7. Benson, Earl D. & Rystrom, David S. & Smersh, Greg T., 1995. "Commission-motivated trading patterns of brokers across the production month," Financial Services Review, Elsevier, vol. 4(2), pages 81-95.
    8. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    9. Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.
    10. Jochen M. Schmittmann & Jenny Pirschel & Steffen Meyer & Andreas Hackethal, 2015. "The Impact of Weather on German Retail Investors," Review of Finance, European Finance Association, vol. 19(3), pages 1143-1183.
    11. Athanassakos, George & Tian, Yisong Sam, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, Elsevier, vol. 7(1), pages 65-86.
    12. Bohl, Martin T. & Gottschalk, Katrin & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," MPRA Paper 677, University Library of Munich, Germany, revised Nov 2006.
    13. Lee, Yu Kyung & Kim, Ryumi, 2022. "The turn-of-the-month effect and trading of types of investors," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    14. James M. Poterba & Scott J. Weisbenner, 2001. "Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns," Journal of Finance, American Finance Association, vol. 56(1), pages 353-368, February.
    15. Charles P. Jones & Jack W. Wilson, 1989. "An Analysis Of The January Effect In Stocks And Interest Rates Under Varying Monetary Regimes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 341-354, December.
    16. Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence, 2013. "The January effect for individual corporate bonds," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 69-77.
    17. Chen, Zhongdong & Schmidt, Adam & Wang, Jin’ai, 2021. "Retail investor risk-seeking, attention, and the January effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    18. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
    19. Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
    20. Robert J. Sweeney & Robert F. Scherer & Janet Goulet & Waldemar M. Goulet, 1996. "Investment Behavior and the Small Firm Effect," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(3), pages 251-269, Fall.
    21. George Athanassakos & Yisong Sam Tian, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, John Wiley & Sons, vol. 7(1), pages 65-86.

    Replication

    This item is a replication of:
  • Schultz, Paul, 1985. "Personal Income Taxes and the January Effect: Small Firm Stock Returns before the War Revenue Act of 1917: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 333-343, March.

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    1. Can Tax-Loss Selling Explain the January Effect? A Note (JF 1987) in ReplicationWiki

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