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Roll Roll (Winter 1983)
“Vas ist Das: The Turn of the Year Effect and the Return Premia of Small Firms.”Journal of Portfolio Management, 9
Mustafa Gultekin, N. Gultekin (1983)
Stock market seasonality: International EvidenceJournal of Financial Economics, 12
Donald Keim (1983)
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Blakey Blakey (December 1917)
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Blakey (1917)
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Marc Reinganum (1981)
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P. Brown, Donald Keim, A. Kleidon, Terry Marsh (1983)
Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence
Brown (1983)
Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian EvidenceJournal of Financial Economics, 12
Ángel Berges, John Mcconnell, Gary Schlarbaum (1984)
The Turn‐of‐the‐Year in CanadaJournal of Finance, 39
R. Roll (1983)
Vas Ist Das?, 9
Marc Reinganum (1983)
The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effectsJournal of Financial Economics, 12
Daniel Roper (1918)
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R. Ibbotson, Rex Sinquefield (1982)
Stocks, bonds, bills, and inflation : the past and the future
ABSTRACT This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn‐of‐the‐year effect is found. This paper also extends previous authors' work on the subject to 1918–29. A January effect is found during that period.
The Journal of Finance – Wiley
Published: Mar 1, 1985
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