Badrinath, S G; Lewellen, Wilbur G - In: Journal of Finance 46 (1991) 1, pp. 369-82
Tax-loss selling by investors in common stocks near the end of calendar years has been proposed as an explanation for the turn-of-the-year effect in stock returns. Past analyses of this hypothesis have relied on inferential data. The authors provide here some direct data from a compilation of...