Market index returns,macroeconomic variables,and tax-loss selling |
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Authors: | Email author" target="_blank">Ken?JohnstonEmail author Don?R?Cox |
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Institution: | (1) Georgia Southern University, 30460 Statesboro, Georgia;(2) Appalachian State University, 28608 Boone, North Carolina |
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Abstract: | This study provides the most direct macro-level test to date of the tax-loss selling hypothesis as an explanation of the January
effect. By examining relationships between macroeconomic variables that should be related to tax-loss selling and market index
measures of the January effect, this study provides an approach that addresses the market microstructure problems that are
inherent in much of the prior research regarding tax-loss selling. This study also addresses some of the methodological and
variable specification concerns in prior macro-level testing, resulting in stronger support for taxloss selling.
The authors wish to acknowledge the editor and anonymous referees for helpful comments and suggestions. |
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Keywords: | |
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