CAN TAX-LOSS SELLING EXPLAIN THE JANUARY SEASONAL IN STOCK RETURNS

被引：30

作者：

CHAN, KC

机构：

来源：

JOURNAL OF FINANCE | 1986年 / 41卷 / 05期

关键词：

D O I：

10.2307/2328167

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1115 / 1128

页数：14

共 20 条

[1] THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J].

BANZ, RW .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :3-18

[2] BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT [J].

BLUME, ME ;

STAMBAUGH, RF .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) :387-404

[3] TAX LOSS TRADING RULE [J].

BRANCH, B .

JOURNAL OF BUSINESS, 1977, 50 (02) :198-207

[4] STOCK RETURN SEASONALITIES AND THE TAX-LOSS SELLING HYPOTHESIS - ANALYSIS OF THE ARGUMENTS AND AUSTRALIAN EVIDENCE [J].

BROWN, P ;

KEIM, DB ;

KLEIDON, AW ;

MARSH, TA .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (01) :105-127

[5]

CONSTANTINIDES G, 1984, J FINANCIAL EC, V13, P36

[6] OPTIMAL BOND TRADING WITH PERSONAL TAXES [J].

CONSTANTINIDES, GM ;

INGERSOLL, JE .

JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (03) :299-335

[7] DOES THE STOCK-MARKET OVERREACT [J].

DEBONDT, WFM ;

THALER, R .

JOURNAL OF FINANCE, 1985, 40 (03) :793-805

[8] CAPITAL GAINS TAXATION AND YEAR-END STOCK-MARKET BEHAVIOR [J].

DYL, EA .

JOURNAL OF FINANCE, 1977, 32 (01) :165-175

[9] STOCK-MARKET SEASONALITY - INTERNATIONAL EVIDENCE [J].

GULTEKIN, MN ;

GULTEKIN, NB .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (04) :469-481

[10] SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY - FURTHER EMPIRICAL-EVIDENCE [J].

KEIM, DB .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (01) :13-32

← 1 2 →