New evidence of quarterly return patterns in the Spanish stock market

Cristina Ortiz, Jos� Mar�a Ortiz de Z�rate and Luis Vicente

Applied Economics Letters, 2015, vol. 22, issue 13, 1025-1029

Abstract: This article updates the evidence found by Ortiz et al. (2010) in the Spanish stock market. Our results provide a lack of significant return anomalies around the first three quarter ends of the year, which questions the role of window dressing in these return patterns. Nevertheless, the results confirm a significant turn-of-the-year effect for small-cap stocks with poor return records, which may be consistent with the tax-loss selling hypothesis despite the wash sales regulation. Using a new approach, we find that this January effect is a widespread sector anomaly. Finally, the turn-of-the-year anomaly definitively exceeds the first trading days for the small-cap stocks.

Date: 2015
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DOI: 10.1080/13504851.2014.995358

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