A December effect with tax-gain selling?

    Authors

    H. H. Chen;V. Singal

    Comments

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    Abbreviated Journal Title

    Financ. Anal. J.

    Keywords

    portfolio management : equity strategies; equity investments : research; sources; STOCK-MARKET BEHAVIOR; OF-THE-YEAR; RETURNS; JANUARY; TAXATION; Business, Finance

    Abstract

    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.

    Journal Title

    Financial Analysts Journal

    Volume

    225

    Issue/Number

    4

    Publication Date

    1-1-2003

    Document Type

    Article

    Language

    English

    First Page

    78

    Last Page

    +

    WOS Identifier

    WOS:000187918002100

    ISSN

    0015-198X

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