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Tax‐Loss Selling and the January Effect: Evidence from Municipal Bond Closed‐End Funds

Citations

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Cited by:

  1. 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.
  2. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  3. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
  4. Eichfelder, Sebastian & Lau, Mona, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," arqus Discussion Papers in Quantitative Tax Research 195, arqus - Arbeitskreis Quantitative Steuerlehre.
  5. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2012. "Performance inconsistency in mutual funds: An investigation of window-dressing behavior," CFR Working Papers 11-07 [rev.], University of Cologne, Centre for Financial Research (CFR).
  6. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
  7. Sebastian Eichfelder & Mona Lau, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," FEMM Working Papers 150019, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  8. Eichfelder, Sebastian & Lau, Mona, 2014. "Capital gains taxes and asset prices: The impact of tax awareness and procrastination," arqus Discussion Papers in Quantitative Tax Research 170, arqus - Arbeitskreis Quantitative Steuerlehre.
  9. Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.
  10. Françoise LE QUERE, 2008. "L'habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," LEO Working Papers / DR LEO 870, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  11. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
  12. Cohen, Gil, 2014. "Why don’t you trade only four days a year? An empirical study into the abnormal returns of quarters first trading day," Economics Letters, Elsevier, vol. 124(3), pages 335-337.
  13. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2013. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.2], University of Cologne, Centre for Financial Research (CFR).
  14. Kang, Moonsoo, 2010. "Probability of information-based trading and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2985-2994, December.
  15. Eichfelder, Sebastian & Lau, Mona, 2014. "Capital gains taxes and asset prices: The impact of tax awareness and procrastination," Discussion Papers 2014/17, Free University Berlin, School of Business & Economics.
  16. 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.
  17. Katircioglu, Setareh & Katircioglu, Salih, 2023. "The effects of environmental taxation on stock returns of renewable energy producers: Evidence from Turkey," Renewable Energy, Elsevier, vol. 208(C), pages 311-323.
  18. Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
  19. Kazuki Onji & Masanori Orihara, 2016. "Taxes, stock ownership, and payout policy: Evidence from a 2011 tax reform in Japan," Discussion papers ron278, Policy Research Institute, Ministry of Finance Japan.
  20. Nisar, Sabahat & Asif, Rabia & Ali, Amjad, 2021. "Testing the Presence of the January Effect in Developed Economies," MPRA Paper 112548, University Library of Munich, Germany.
  21. Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016. "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 123-138.
  22. 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.
  23. Guan, Xian & Saxena, Konark, 2015. "Capital market seasonality: The curious case of large foreign stocks," Finance Research Letters, Elsevier, vol. 15(C), pages 85-92.
  24. 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.
  25. 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).
  26. Philip Brown & Andrew Ferguson & Sam Sherry, 2010. "Investor behaviour in response to Australia’s capital gains tax," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(4), pages 783-808, December.
  27. Françoise Le Quéré, 2010. "L’habillage de portefeuille par les gérants de fonds dans la littérature : incitations, effets et risques," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 275-293.
  28. Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012. "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 418-427.
  29. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2014. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.3], University of Cologne, Centre for Financial Research (CFR).
  30. Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
  31. Mehmet Akbulut & Su Han Chan & Mariya Letdin, 2015. "Calendar Anomalies: Do REITs Behave Like Stocks?," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 177-215.
  32. Shiu, Yih-Wen & Lee, Chun I. & Gleason, Kimberly C., 2014. "Institutional shareholdings and the January effects in Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 49-66.
  33. Eichfelder, Sebastian & Lau, Mona, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," Discussion Papers 2015/33, Free University Berlin, School of Business & Economics.
  34. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper 4995, University Library of Munich, Germany.
  35. Dilip Patro & Louis R. Piccotti & Yangru Wu, 2017. "Exploiting Closed-End Fund Discounts: A Systematic Examination Of Alphas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 223-248, June.
  36. Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.
  37. Landoni, Mattia, 2018. "Tax distortions and bond issue pricing," Journal of Financial Economics, Elsevier, vol. 129(2), pages 382-393.
  38. Levy, Tamir & Yagil, Joseph, 2012. "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1963-1974.
  39. Alin Marius ANDRIEŞ & Iulian IHNATOV & Nicu SPRINCEAN, 2017. "Do Seasonal Anomalies Still Exist In Central And Eastern European Countries? A Conditional Variance Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 60-83, December.
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