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Return seasonality and tax-loss selling in the market for long-term government and corporate bonds

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  • Chang, Eric C.
  • Pinegar, J. Michael

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  • Chang, Eric C. & Pinegar, J. Michael, 1986. "Return seasonality and tax-loss selling in the market for long-term government and corporate bonds," Journal of Financial Economics, Elsevier, vol. 17(2), pages 391-415, December.
    • Handle: RePEc:eee:jfinec:v:17:y:1986:i:2:p:391-415
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    Citations

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    Cited by:

    1. Al-Khazali, Osamah M., 2001. "Does the January effect exist in high-yield bond market?," Review of Financial Economics, Elsevier, vol. 10(1), pages 71-80.
    2. Duane Stock, 1992. "The Analytics Of Relative Holding-Period Risks For Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 253-263, September.
    3. Barnhill Jr., Theodore M. & Joutz, Frederick L. & Maxwell, William F., 2000. "Factors affecting the yields on noninvestment grade bond indices: a cointegration analysis," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 57-86, May.
    4. 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.
    5. Gualter Couto & Pedro Pimentel & Catarina Barbosa & Rui Alexandre Castanho, 2021. "The Month-of-the-Year Effect in the European, American, Australian and Asian Markets," Economies, MDPI, vol. 9(4), pages 1-14, November.
    6. Srinivas Nippani & Augustine C. Arize, 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 157-171, August.
    7. 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.
    8. David R. Gallagher & Elvis Jarnecic, 2002. "The Performance of Active Australian Bond Funds," Australian Journal of Management, Australian School of Business, vol. 27(2), pages 163-185, December.
    9. Jeffrey L. Hoopes & Daniel H. Reck & Joel Slemrod, 2015. "Taxpayer Search for Information: Implications for Rational Attention," American Economic Journal: Economic Policy, American Economic Association, vol. 7(3), pages 177-208, August.
    10. Theodor Kohers & Jayen B. Patel, 1996. "An examination of the day‐of‐the‐week effect in junk bond returns over business cycles," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 31-46, December.
    11. Nippani, Srinivas & Arize, Augustine C., 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, Elsevier, vol. 17(3), pages 157-171, August.
    12. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
    13. Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
    14. 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.
    15. Vladimir Kotomin, 2021. "The clientele effect around the turn of the year: evidence from the bond markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 637-653, October.
    16. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
    17. 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.
    18. Osamah M Al‐Khazali, 2001. "Does the January effect exist in high‐yield bond market?," Review of Financial Economics, John Wiley & Sons, vol. 10(1), pages 71-80, March.
    19. Partha Gangopadhyay, 1996. "Macroeconomic Variables And Seasonal Mean Reversion In Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 395-416, September.
    20. Christopher K. Ma & Ramesh P. Rao & Herbert J. Weinraub, 1988. "The Seasonality In Convertible Bond Markets: A Stock Effect Or Bond Effect?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(4), pages 335-347, December.

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