New evidence on the turn-of-the-year effect from closed-end fund IPOs

One of the most persistent securities anomalies is the january effect, whereby significant positive abnormal returns occur during the first few days of the calendar year, especially among small capitalization stocks. I detect a statistically significant January seasonal among a sample of closed-end stock funds that went public during the immediately preceding calendar year. However, contrary to prior research, the results indicate that the abnormal January returns are associated with year-end tax-loss-selling, but do not exhibit a small firm effect.