A December Effect with Tax-Gain Selling

Posted: 18 Sep 2003

See all articles by Honghui Chen

Honghui Chen

Department of Finance, University of Central Florida

Vijay Singal

Virginia Tech

Multiple version iconThere 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

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

Honghui Chen

Department of Finance, University of Central Florida ( email )

PO Box 161400
Orlando, FL 32816
United States
407-823-0895 (Phone)

Vijay Singal (Contact Author)

Virginia Tech ( email )

250 Drillfield Drive
Blacksburg, VA 24061
United States
5402317750 (Phone)

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