A November Effect? Revisiting the Tax-Loss-Selling Hypothesis

Harjeet S Bhabra, Upinder S Dhillon and Gabriel Ramirez

Financial Management, 1999, vol. 28, issue 4

Abstract: This study documents a November tax-loss-selling effect that has become evident following the enactment of the Tax Reform Act of 1986 and the change in tax-year-end for mutual funds. The results suggest that the tax-loss-selling hypothesis best explains the well-known January effect observed in stock returns.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fma:fmanag:bhabra99

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