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STOCK MARKET SEASONALITY AND TAXES: AN EXAMINATION OF THE TAX‐LOSS SELLING HYPOTHESIS
Author(s) -
Van Den Bergh W. M.,
Wessels R. E.
Publication year - 1985
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1985.tb00791.x
Subject(s) - spurious relationship , economics , stock (firearms) , econometrics , stock market , financial economics , monetary economics , statistics , mechanical engineering , paleontology , horse , engineering , biology , mathematics
Recent empirical studies have found evidence that supports the tax loss selling explanation of seasonal effects in stock returns. Using other test procedures, the present authors conclude that the support found in other studies is likely to be the result of spurious correlation between returns of stocks selected as tax‐loss selling candidates and the January returns of these stocks.