This paper reexamines the use of the Sharpe ratio to measure the performance of large and small company stocks along with corporate bonds over different holding periods. It builds on previous research which cites the effects of serial correlation and non-normality in the creation of estimation...

This study provides the most direct macro-level test to date of the tax-loss selling hypothesis as an explanation of the January effect. By examining relationships between macroeconomic variables that should be related to tax-loss selling and market index measures of the January effect, this...

Tax-loss selling by individuals has long been thought to be a major factor driving the January effect. The Tax Reform Act of 1986 changed the tax-year end for mutual funds to October 31 and increased the marginal tax rate, creating a natural experiment allowing Bhabra, Dhillon, and Ramirez...