Abstract
We dispel the belief that the January effect, anomalous returns to small-capitalization stocks in the month of January, is a retail investor trading phenomenon. We use a market with a July-June tax year, Australia, to separate potential tax loss selling from other anomalous returns. Our results indicate that a January effect does persist in the Australian market, but it is not a result of retail investor trading. Furthermore, retail investor trading does not have a convincingly significant effect independent of market capitalization. Our study is important as a direct test of the assumption that retail trading causes market anomalies.
Original language | English |
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Title of host publication | Proceedings of the 2011 Financial Management Association Meeting |
Editors | J Kose |
Place of Publication | Florida, USA |
Publisher | Financial Management Association |
Pages | 1-37 |
Number of pages | 37 |
Publication status | Published - 2011 |
Event | Financial Management Association 2011 Annual Meeting - Denver, Colorado, United States Duration: 20 Oct 2011 → 22 Oct 2011 http://www.fma.org/ |
Conference
Conference | Financial Management Association 2011 Annual Meeting |
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Country/Territory | United States |
City | Colorado |
Period | 20/10/11 → 22/10/11 |
Internet address |