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
The files in this collection are protected by copyright law. No commercial reproduction or distribution of these files is permitted without the written permission of Southern Methodist University, Cox Business School. These files may be freely used for educational purposes, provided they are not altered in any way, and Southern Methodist University is cited. For more information, contact firstname.lastname@example.org.
Peavy III, John W., "Tax-Loss-Selling and Closed-End Stock Funds" (1992). Historical Working Papers. 151.