Tax Loss Selling, Window Dressing, and the January Effect: Evidence from NYSE Order Flow Data

2008 ◽  
Author(s):  
Ekkehart Boehmer ◽  
Eric K. Kelley
Keyword(s):  
January Effect ◽  
Order Flow ◽  
Flow Data ◽  
Window Dressing ◽  
Tax Loss

scholarly journals The 52-Week High And The January Effect

2010 ◽  
Vol 8 (3) ◽  
Author(s):  
Seung-Chan Park ◽  
Sviatoslav A. Moskalev
Keyword(s):  
Reference Price ◽  
Predictive Power ◽  
Dominant Role ◽  
Primary Factor ◽  
January Effect ◽  
Font Size ◽  
Fund Managers ◽  
Window Dressing ◽  
Tax Loss

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">The predictive power of past returns for January reversal is compared with that of the nearness of current prices to the 52-week high.<span style="mso-spacerun: yes;">&nbsp; </span>When compared jointly, past returns lose their forecasting power for January returns and the nearness of current prices to the 52-week high assumes the dominant role in explaining the January reversal.<span style="mso-spacerun: yes;">&nbsp; </span>This suggests that tax-loss selling is not the primary factor explaining the January effect.<span style="mso-spacerun: yes;">&nbsp; </span>A behavioral explanation consistent with the window-dressing argument is proposed in that the 52-week high acts as an &ldquo;anchor,&rdquo; a highly visible reference price to fund holders, increasing fund managers&rsquo; incentives to window-dress by temporarily adding (removing) stocks that are perceived by fund holders as good (bad) investments, based on the nearness of these stocks&rsquo; current prices to the 52-week high.</span></span></p>

Explaining Intraday Pattern of Trading Volume from the Order Flow Data

2001 ◽  
Vol 28 (1-2) ◽  
pp. 199-230 ◽  
Author(s):  
Yi-Tsung Lee ◽  
Robert C.W. Fok ◽  
Yu-Jane Liu
Keyword(s):  
Trading Volume ◽  
Order Flow ◽  
Flow Data

scholarly journals Trends and Calendar effects in Malaysia’s Stock Market

2017 ◽  
Vol 6 (1) ◽  
pp. 18 ◽  
Author(s):  
Ayman Abdalmajeed Ahmad Al-smadi ◽  
Mahmoud Khalid Almsafir ◽  
Nur Hanis Hazwani Binti Husni
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Sovereign Debt ◽  
Stock Price ◽  
Debt Crisis ◽  
Weak Form ◽  
Study Data ◽  
January Effect ◽  
Calendar Effects ◽  
Tax Loss

Investing can help a person's wealth to generate more, and investing in stock is proven as one of the most profitable forms of available investment. The benefits gained in stock broking are immediate Buy/Sell which investor can sell part of their investment any time and at low transaction cost. However, investing in stock will require investor to observe the market, as market can be a volatile place and investor need to acquire knowledge of what they actually are doing. This study will discuss the price trends over the year, and how it will get affected by the seasonality in Malaysia, which also known as the calendar effects. The factor to be investigated in this study is the price on holiday’s season, the January effect or any other monthly seasonality. The daily price of KPJ Healthcare Berhad for the year 2011 is the sample was chosen in this study. Further this study, data used is derived from the weak-form efficient markets hypothesis, which is the price history and case study. Regression method is used in this study in order to help achieving the findings. This should be a continuous study, and adding on more other factors, such as wars and economic crises, and traders, investors and other speculators. This paper has proved the existence of calendar anomalies in KPJ's stock price for Chinese New Effect, Aidilfitri Effect and Christmas Effect. However, the price changes are believed more likely due to the investors tormenting about central banks raising interest rates to restrain rising inflation. Other than that, for Aidilfitri Effect and Christmas Effect, further study should be perform since the raise of the stock market, may be due to the world’s stock market begin to be stronger after the European sovereign debt crisis to Spain and Italy in August. Conversely, there are positive returns for January. However, the findings are non-related to the January effect. This is because January effect arises due to tax-loss selling, which Malaysia has a different tax system compared to other countries. Shareholders in Malaysia are not necessary to pay any taxes on the return they gained from share trading.

The January Effect is not Driven by Tax Loss Selling

1998 ◽  
Vol 7 (4) ◽  
pp. 105-111 ◽  
Author(s):  
Don R. Cox ◽  
Ken Johnston
Keyword(s):  
January Effect ◽  
Tax Loss

Tax-Loss Selling and the January Effect: Evidence from Municipal Bond Closed-End Funds

2006 ◽  
Vol 61 (6) ◽  
pp. 3049-3067 ◽  
Author(s):  
LAURA T. STARKS ◽  
LI YONG ◽  
LU ZHENG
Keyword(s):  
January Effect ◽  
Municipal Bond ◽  
Closed End Funds ◽  
Tax Loss
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