Add to ORKGFocusing on changes in the capital gains tax rate in Japan, this paper examines whether tax-loss selling is a main driver of the January effect. Empirical findings in this study lend support for the tax-loss selling hypothesis. I find that the stocks most likely to be subject to tax-loss selling are more likely to yield higher returns around the turn of the year and tend to show excessive year-end trading in the high capital gain tax regime
This dissertation uses U.S. and Canadian trade-to-trade data to test the validity of the tax loss se...
We present evidence on the December effect. When investors do not sell winner stocks in December but...
This paper investigates the effects of tax loss harvesting on stock trading behavior at year-end. I ...
Focusing on changes in the capital gains tax rate in Japan, this paper examines whether tax-loss sel...
This paper provides direct evidence supporting the tax-loss selling hypothesis as an explanation of ...
This paper provides direct evidence supporting the tax-loss selling hypothesis as an explanation of ...
We present evidence on the December effect. When investors do not sell winner stocks in December but...
In this paper, we use intra-day data for all stocks listed on the ISSM and provide new and direct ev...
The predictive power of past returns for January reversal is compared with that of the nearness of c...
A ‘tax-loss selling’ hypothesis has frequently been advanced to explain the ‘January effect’ reporte...
Changes in the capital gains tax rules facing individual investors do not affect the incentives for ...
Prior research finds that stocks earn significantly higher returns in January compared to other mont...
Prior research finds that stocks earn significantly higher returns in January compared to other mont...
Prior research finds that stocks earn significantly higher returns in January compared to other mont...
In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momen...
This dissertation uses U.S. and Canadian trade-to-trade data to test the validity of the tax loss se...
We present evidence on the December effect. When investors do not sell winner stocks in December but...
This paper investigates the effects of tax loss harvesting on stock trading behavior at year-end. I ...
Focusing on changes in the capital gains tax rate in Japan, this paper examines whether tax-loss sel...
This paper provides direct evidence supporting the tax-loss selling hypothesis as an explanation of ...
This paper provides direct evidence supporting the tax-loss selling hypothesis as an explanation of ...
We present evidence on the December effect. When investors do not sell winner stocks in December but...
In this paper, we use intra-day data for all stocks listed on the ISSM and provide new and direct ev...
The predictive power of past returns for January reversal is compared with that of the nearness of c...
A ‘tax-loss selling’ hypothesis has frequently been advanced to explain the ‘January effect’ reporte...
Changes in the capital gains tax rules facing individual investors do not affect the incentives for ...
Prior research finds that stocks earn significantly higher returns in January compared to other mont...
Prior research finds that stocks earn significantly higher returns in January compared to other mont...
Prior research finds that stocks earn significantly higher returns in January compared to other mont...
In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momen...
This dissertation uses U.S. and Canadian trade-to-trade data to test the validity of the tax loss se...
We present evidence on the December effect. When investors do not sell winner stocks in December but...
This paper investigates the effects of tax loss harvesting on stock trading behavior at year-end. I ...