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W. Bondt, R. Thaler (1987)
Further Evidence On Investor Overreaction and Stock Market SeasonalityJournal of Finance, 42
Donald Keim (1983)
SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical EvidenceJournal of Financial Economics, 12
Dan Givoly, Arie Ovadia (1983)
Year‐End Tax‐Induced Sales and Stock Market SeasonalityJournal of Finance, 38
Ben Branch (1977)
A Tax Loss Trading RuleThe Journal of Business, 50
Michael Rozeff (1986)
Tax-Loss Selling: Evidence from December Stock Returns and Share ShiftsCapital Markets: Market Efficiency
R. Banz (1981)
The relationship between return and market value of common stocksJournal of Financial Economics, 9
Andrei Shleifer (1986)
Do Demand Curves for Stocks Slope DownJournal of Finance, 41
Donald Keim (1986)
The CAPM and Equity Return RegularitiesFinancial Analysts Journal, 42
M. Blume, R. Stambaugh (1983)
BIASES IN COMPUTED RETURNS An Application to the Size EffectJournal of Financial Economics, 12
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
S. Tiniç, R. West (1984)
Risk and return: Janaury vs. the rest of the yearJournal of Financial Economics, 13
H. Seyhun (1988)
The January Effect and Aggregate Insider TradingJournal of Finance, 43
Ross Clark, W. Ziemba (1987)
OR Practice - Playing the Turn-of-the-Year Effect with Index FuturesOper. Res., 35
L. Harris, Eitan Gurel (1986)
Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price PressuresJournal of Finance, 41
Ariel (1987)
A Monthly Effect in Stock ReturnsJournal of Financial Economics, 18
W. Bondt, R. Thaler (1985)
Does the Stock Market OverreactJournal of Finance, 40
R. Roll (1983)
Vas Ist Das?, 9
Kalok Chan (1986)
Can Tax‐Loss Selling Explain the January Seasonal in Stock Returns?Journal of Finance, 41
Marc Reinganum (1983)
The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effectsJournal of Financial Economics, 12
Michael Rozeff, William Kinney (1976)
Capital market seasonality: The case of stock returnsJournal of Financial Economics, 3
Josef Lakonishok, S. Smidt (1984)
Volume and turn-of-the-year behaviorJournal of Financial Economics, 13
R. Ibbotson, Rex Sinquefield (1982)
Stocks, bonds, bills, and inflation : the past and the future
Marc Reinganum (1984)
DISCUSSION: WHAT THE ANOMALIES MEANJournal of Finance, 39
S. Ross (1976)
The arbitrage theory of capital asset pricingJournal of Economic Theory, 13
ABSTRACT The average returns on low‐capitalization stocks are unusually high relative to those on large‐capitalization stocks in early January, a phenomenon known as the turn‐of‐the‐year effect. This paper finds that the ratio of stock purchases to sales by individual investors displays a seasonal pattern, with individuals having a below‐normal buy/sell ratio in late December and an above‐normal ratio in early January. Year‐to‐year variation in the early January buy/sell ratio explains forty‐six percent of the year‐to‐year variation in the turn‐of‐the‐year effect during 1971–1985.
The Journal of Finance – Wiley
Published: Jul 1, 1988
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