Title

All Things Considered, Taxes Drive The January Effect

Abstract

The multitude of explanations for the January effect leaves the reader confused about its primary cause(s): is it tax-loss selling, window dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has generally been presented in support of a particular hypothesis though the same evidence may be consistent with another hypothesis. Furthermore, prior work does not adequately control for the bid-ask bounce. In this article we try to disentangle different explanations of the January effect and identify its primary cause. We find that tax-related selling is the most important cause, overshadowing other explanations.

Publication Date

9-1-2004

Publication Title

Journal of Financial Research

Volume

27

Issue

3

Number of Pages

351-372

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1111/j.1475-6803.2004.00095.x

Socpus ID

4444226896 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/4444226896

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