Firm Size, Monthly Seasonalities and Tax-Loss Selling: Further Evidence From the Uk

Baker, Russell; Limmack, Robin John

doi:10.1006/bare.1997.0067

Cited by 16 publications

(10 citation statements)

References 24 publications

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“…‡ to whom correspondence should be addresed. 1 See, for example, Rozeff and Kinney (1976), Keim (1983), Reinganum (1983), Lakonishok and Smidt (1984), Tinic and West (1984), Jaffe and Westerfield (1985), Gultekin (1983, 1987), Santesmases (1986), Raj and Thurston (1994), Mills and Coutts (1995), Arsad and Coutts (1997), Draper and Paudyal (1997), and Baker and Limmack (1998 'information signals', contained in dividend payments. However, Mills and Coutts (1995) review the literature concerning dividends, and conclude that any bias in the results due to the exclusion of dividends from anomalies studies, will be minimal.…”

Section: Methodsmentioning

confidence: 98%

The January effect and monthly seasonality in the Hang Seng index: 1985-97

Cheung¹,

Coutts²

1999

Applied Economics Letters

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In this paper we employ a data set of logarithmic nondividend adjusted daily returns from the Hong Kong Stock Exchange Hang Seng Index, over a thirteen and a half year period to investigate the presence of the January effect, or other monthly seasonalities. Further, we partition our data set into two subsamples, which allows us to test for persistence of any monthly seasonality we uncover. However, our results are somewhat surprising, we can find no evidence of a January effect or any other monthly seasonality. Indeed, we note that for two of our data sets, the mean return for December is less than that for January. We conclude that these results are peculiar to the Hang Seng Index, as the overwhelming majority of previous studies of other Stock Indices, generally detect some form of monthly seasonality.

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Section: Methodsmentioning

confidence: 98%

The January effect and monthly seasonality in the Hang Seng index: 1985-97

Cheung¹,

Coutts²

1999

Applied Economics Letters

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“…The authors associate their reported positive April stock returns to AGM clustering in the US. However, the explanation is more confounding for our UK evidence given that April marks the end and turn of the fiscal year in the UK suggesting that the positive stock returns may be evidence of the tax--loss effect in which investors adjust their portfolios in response to changes in government tax policies (see, for example, Baker & Limmack, 1998). 0.0080 0.0080 The table reports the result of the ordinary least squares regression of monthly stock returns on event month dummy variables.…”

Section: Methodsmentioning

confidence: 98%

Clustering of annual general meetings and stock returns: UK evidence

Lawal

2016

Journal of Behavioral and Experimental Finance

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“…5 For a more detailed description of the construction and contents of these size control portfolios, refer to Baker and Limmack (1998b). 4 We use monthly returns as our main focus of attention is on long-run performance rather than on the speed or size of the initial reaction, which would generally require analysis of returns from shorter time intervals, e.g.…”

Section: Notesmentioning

confidence: 99%