The Turn-of-The-Quarter Effect in Momentum and Reversal in U.S. Stocks: Price Pressure as the Result of Tax-Loss Sales and Window Dressing

The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year

Journal of Financial Markets ◽

10.1016/s1386-4181(02)00023-x ◽

2003 ◽

Vol 6 (1) ◽

pp. 73-98 ◽

Cited By ~ 42

Author(s):

Ranjan D'Mello ◽

Stephen P Ferris ◽

Chuan Yang Hwang

Keyword(s):

Market Liquidity ◽

Price Pressure ◽

Tax Loss

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Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations

Journal of Emerging Market Finance ◽

10.1177/0972652719831549 ◽

2019 ◽

Vol 18 (1_suppl) ◽

pp. S35-S58 ◽

Cited By ~ 1

Author(s):

Harshita ◽

Shveta Singh ◽

Surendra S. Yadav

Keyword(s):

Stock Market ◽

Jel Classification ◽

Calendar Effects ◽

Window Dressing ◽

Year Effect ◽

Index Level ◽

Indian Stock Market ◽

Tax Loss ◽

Behavioural Aspects

Covering 20 years (1995–2015), the article ascertains the presence of the month-of-the-year effect in the Indian stock market, for the raw returns series as well as after adjusting for non-linearities of the market. Whether the effect is the same for portfolios of different sizes and values is also ascertained. The threshold generalised autoregressive conditionally heteroskedastic (TGARCH) model is employed to address non-linearity. The results suggest the presence of higher returns in November/December at the index level. Further, only firms with a size smaller than the average exhibit seasonality in the form of the April/May and November/December effect. The value-sorted portfolios exhibit weaker evidence of the December effect. Tax-loss selling, window dressing and behavioural aspects seem to provide the explanation. JEL Classification: C58, G14

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The 52-Week High And The January Effect

Journal of Business & Economics Research (JBER) ◽

10.19030/jber.v8i3.688 ◽

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

The predictive power of past returns for January reversal is compared with that of the nearness of current prices to the 52-week high.  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.  This suggests that tax-loss selling is not the primary factor explaining the January effect.  A behavioral explanation consistent with the window-dressing argument is proposed in that the 52-week high acts as an “anchor,” a highly visible reference price to fund holders, increasing fund managers’ 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’ current prices to the 52-week high.

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