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The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the Physical Activity for Health Group based within the School of Psychological Sciences & Health. Research here seeks to better understand how and why physical activity improves health, gain a better understanding of the amount, intensity, and type of physical activity needed for health benefits, and evaluate the effect of interventions to promote physical activity.

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Insider trading, tax-loss selling and the turn-of-the-year effect

Hillier, David and Marshall, Andrew (2002) Insider trading, tax-loss selling and the turn-of-the-year effect. International Review of Financial Analysis, 11 (1). pp. 73-84. ISSN 1057-5219

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Abstract

We examine the turn-of-the-year effect (January effect) in UK listed securities and find that it is significant but not persistent through time. In contrast to the US studies, equities of all sizes are affected. Although important, we reject the hypothesis that seasonalities in insider trading are the main determinant of the turn-of-the-year effect. In addition, the tax-loss selling hypothesis, which is commonly thought to be a cause of the January effect in the US, is tested with the April year-end for UK investors. We find evidence of excess abnormal share price returns. However, this does not impact upon excess abnormal share price returns in January. Our results are important because they provide an insight into stock return seasonality in the UK and reject some widely held beliefs on this issue.