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New evidence of quarterly return patterns in the Spanish stock market

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  • Cristina Ortiz
  • Jos� Mar�a Ortiz de Z�rate
  • Luis Vicente

Abstract

This article updates the evidence found by Ortiz et al. (2010) in the Spanish stock market. Our results provide a lack of significant return anomalies around the first three quarter ends of the year, which questions the role of window dressing in these return patterns. Nevertheless, the results confirm a significant turn-of-the-year effect for small-cap stocks with poor return records, which may be consistent with the tax-loss selling hypothesis despite the wash sales regulation. Using a new approach, we find that this January effect is a widespread sector anomaly. Finally, the turn-of-the-year anomaly definitively exceeds the first trading days for the small-cap stocks.

Suggested Citation

  • Cristina Ortiz & Jos� Mar�a Ortiz de Z�rate & Luis Vicente, 2015. "New evidence of quarterly return patterns in the Spanish stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 22(13), pages 1025-1029, September.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:13:p:1025-1029
    DOI: 10.1080/13504851.2014.995358
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    Cited by:

    1. I. Marta Miranda García & María‐Jesús Segovia‐Vargas & Usue Mori & José A. Lozano, 2023. "Early prediction of Ibex 35 movements," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1150-1166, August.
    2. Ormos, Mihály & Timotity, Dusán, 2016. "Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading," Finance Research Letters, Elsevier, vol. 19(C), pages 60-66.

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