BUSI 4502 Lecture Notes - Lecture 5: Trading Strategy, Nasdaq, Vise
30 Aug 2018
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Document Summary
The january effects are known as the large january return for losers. December effect is known as large december return for winner stocks. Both of these effect has been widely known by investors for decades and the main explanation is tax-loss selling. The samples used consist of common stocks traded on nyse, amex and nasdaq exchanges. The sample period is from 1963 to 2001. The data are from daily and monthly stock files maintained by the center for. The result show that the higher returns in december is connected with higher turnover in january for large winners that are consistent with the december effect and vise versa. The turnover in january is 30% higher than in december and is consistent with tax-gain selling in. The difference is performance is concentrated in the 10 days around the year end as the results show 3% higher in 5 days december return as compared to january.
