Return Seasonality in Stocks and Their Underlying Assets: Tax-Loss Selling Versus Information Explanations

作者: Greggory A Brauer , Eric C Chang

DOI: 10.1093/RFS/3.2.255

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摘要: Results of tests contrasting tax-loss selling with intertemporal information variation as explanations the January seasonal in stock returns are reported. Closed-end fund shares display typical size-related while their net asset values do not. Interpreting value return a proxy for about underlying assets, this result indicates is not necessary condition effect stocks. The share at turn year negatively related to mean preceding and positively standard deviations returns. These results consistent selling. Article published by Oxford University Press on behalf Society Financial Studies its journal, Review Studies.

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