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New Evidence on The January Effect Before Personal Income Taxes
Author(s) -
JONES STEVEN L.,
LEE WINSON,
APENBRINK RUDOLF
Publication year - 1991
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1991.tb04649.x
Subject(s) - economics , personal income , personal income tax , index (typography) , income tax , demographic economics , monetary economics , econometrics , financial economics , public economics , state income tax , gross income , tax reform , macroeconomics , world wide web , computer science
We examine the returns of stocks in Cowles Industrial Index before and after the introduction of personal income taxes in 1917. This is distinct from earlier studies because we cross‐sectionally analyze the relationship between the returns of the individual stocks and measures of tax‐loss selling potential and size. We find that excess returns at the turn‐of‐the‐year and for the month of January were not significant until after 1917. These results provide strong support for the tax‐loss selling hypothesis as an explanation for the January seasonal in the returns of small firms.