STOCK MARKET SEASONALITY AND TAXES: AN EXAMINATION OF THE TAX-LOSS SELLING HYPOTHESIS

Recent empirical studies have found evidence that supports the tax loss selling explanation of seasonal effects in stock returns. Using other test procedures, the present authors conclude that the support found in other studies is likely to be the result of spurious correlation between returns of stocks selected as tax-loss selling candidates and the January returns of these stocks.     

TAX-LOSS SELLING,INSTITUTIONAL INVESTORS,AND THE JANUARY EFFECT: A NOTE

In this note we test the hypothesis that trading by tax-motivated individual investors is responsible for the January effect. We examine the ownership structure of a large sample of firms over a four-year period and find that the small firms that usually exhibit high January returns have low institutional ownership. After controlling for firm size, we still find that institutional ownership is significantly related to January abnormal returns. These results suggest that one reason the January effect may concentrate in small firms is because these firms are held by tax-motivated individual investors.     

RETURN OF CAPITAL: CASH FLOW,WEALTH TRANSFER AND INFORMATION SIGNALLING EFFECTS

This paper examines the price effects of an announcement to distribute cash to shareholders via the return of capital procedure currently applying under Australian company law. The impact of such announcements on the market value of ordinary shares is analysed in terms of three hypothesised effects: the cash flow effect, the wealth transfer effect and the information signalling effect. Using data from 17 companies which announced a return of capital between 1970–1978, and applying the “comparison period” methodology, significant positive returns were observed at the time of the announcement of a return of capital. Possible explanations for this result are considered.     

DEVELOPMENTS IN PUBLIC SECTOR PERFORMANCE MEASUREMENT: A PROJECT ON PRODUCING RETURN ON INVESTMENT METRICS FOR LAW ENFORCEMENT

This paper reports on a project concerned with developing a return on investment (ROI) performance metric for a law enforcement organisation. The paper's contributions are twofold. First, it addresses concerns in the literature about how different stakeholder interests are balanced in the development of performance measures. Second, it helps to remedy an oversight in the literature regarding the hybridisation of accounting and economic expertise, whereby cost benefit techniques and ROI combine to produce a metric of public sector achievements. By virtue of its law enforcement context the paper also discusses a further hybridisation where accounting, economics and criminology/law enforcement intersect.