A December Effect with Tax-Gain Selling?# Stock
m*h
1 楼
Authors: Honghui Chen and Vijay Singal
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.
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.