A December Effect with Tax-Gain Selling
Posted: 18 Sep 2003
There are 2 versions of this paper
Abstract
We present evidence on the December effect. When investors do not sell winner stocks in December but postpone their sale to January so that capital gains will not be realized in the current fiscal year, the "winners" appreciate in December. The December effect is relatively easy to arbitrage. We also present evidence regarding the persistence of the January effect and note that the January effect continues because it is difficult to exploit profitably.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
Chen, Honghui and Singal, Vijay, A December Effect with Tax-Gain Selling. Financial Analysts Journal, Vol. 59, No. 4, pp. 78-90, July/August 2003. Available at SSRN: https://ssrn.com/abstract=446820
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