A December effect with tax-gain selling?
Abbreviated Journal Title
Financ. Anal. J.
portfolio management : equity strategies; equity investments : research; sources; STOCK-MARKET BEHAVIOR; OF-THE-YEAR; RETURNS; JANUARY; TAXATION; Business, Finance
We present evidence on the December effect. When investors do not sell winner stocks in December but postpone their sale to January so that capital gains will not be realized in the current fiscal year, the "winners" appreciate in December. The December effect is relatively easy to arbitrage. We also present evidence regarding the persistence of the January effect and note that the January effect continues because it is difficult to exploit profitably.
Financial Analysts Journal
"A December effect with tax-gain selling?" (2003). Faculty Bibliography 2000s. 3666.