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
Full text not available in this repository. (Request a copy from the Strathclyde author)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.
| Item type: | Article |
|---|---|
| ID code: | 5540 |
| Keywords: | insider trading, January effect, tax-loss selling, financial management, taxation, Commerce |
| Subjects: | Social Sciences > Commerce |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Strathprints Administrator |
| Date Deposited: | 02 Mar 2008 |
| Last modified: | 12 Mar 2012 10:43 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/5540 |
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