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New evidence on the impact of size and taxation on the seasonality of UK equity returns

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  • Menyah, Kojo

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  • Menyah, Kojo, 1999. "New evidence on the impact of size and taxation on the seasonality of UK equity returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 11-24, June.
    • Handle: RePEc:eee:revfin:v:8:y:1999:i:1:p:11-24
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    References listed on IDEAS

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    1. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    2. Eakins, Stan & Sewell, Susan, 1993. "Tax-Loss Selling, Institutional Investors, and the January Effect: A Note," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 377-384, Winter.
    3. Seyhun, H. Nejat, 1993. "Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 195-212, June.
    4. Clare, Andrew D & Psaradakis, Zacharias & Thomas, Stephen H, 1995. "An Analysis of Seasonality in the U.K. Equity Market," Economic Journal, Royal Economic Society, vol. 105(429), pages 398-409, March.
    5. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184-184.
    6. Porter, David C. & Powell, Gary E. & Weaver, Daniel G., 1996. "Portfolio rebalancing, institutional ownership, and the small firm-January effect," Review of Financial Economics, Elsevier, vol. 5(1), pages 19-29.
    7. Athanassakos, George & Schnabel, Jacques A., 1994. "Professional portfolio managers and the January effect: theory and evidence," Review of Financial Economics, Elsevier, vol. 4(1), pages 79-91.
    8. Alford, Alan & Guffey, Daryl M., 1996. "A re-examination of international seasonalities," Review of Financial Economics, Elsevier, vol. 5(1), pages 1-17.
    9. Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," The Journal of Business, University of Chicago Press, vol. 60(2), pages 281-295, April.
    10. James A. Ligon, 1997. "A Simultaneous Test Of Competing Theories Regarding The January Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(1), pages 13-32, March.
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    Cited by:

    1. Grieb, Terrance & Reyes, Mario G., 2002. "The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK," Review of Financial Economics, Elsevier, vol. 11(2), pages 109-118.
    2. Terrance Grieb & Mario G. Reyes, 2002. "The temporal relationship between large‐ and small‐capitalization stock returns:," Review of Financial Economics, John Wiley & Sons, vol. 11(2), pages 109-118.

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