Title

A December Effect With Tax-Gain Selling?

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. ©2003, AIMR®.

Publication Date

1-1-2003

Publication Title

Financial Analysts Journal

Volume

59

Issue

4

Number of Pages

78-90

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.2469/faj.v59.n4.2547

Socpus ID

20444479714 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/20444479714

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