Study of 71 closed-end stock funds that went public over a five year period attributes turn-of-the-year selling to price declines over the preceeding year. Size is shown not to be a primary predictor.
turn-of-the-year effect, calendar year, anomalies, January effect
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Peavy III, John W., "Tax-Loss-Selling and Closed-End Stock Funds" (1992). Working Papers. 151.