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 |
|---|---|
| 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 |
|---|---|
| Country/Territory | United States |
| City | Colorado |
| Period | 20/10/11 → 22/10/11 |
| Internet address |