Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

The Turn-of-the-Year in Canada

Angel Berges, John J. McConnell and Gary G. Schlarbaum
The Journal of Finance
Vol. 39, No. 1 (Mar., 1984), pp. 185-192
Published by: Wiley for the American Finance Association
DOI: 10.2307/2327675
Stable URL: http://www.jstor.org/stable/2327675
Page Count: 8
  • Read Online (Free)
  • Download ($33.95)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Turn-of-the-Year in Canada
Preview not available

Abstract

A number of investigators have reported that January stock returns in the U.S. exceed returns for other months of the year. This paper documents a similar finding for Canadian stocks over the period 1951-1980. However, Canada did not introduce a capital gains tax until 1973 and the paper reports that January returns in Canada exceed returns for other months of the year before and after this date. Thus, these data do not support the tax-loss-selling-pressure hypothesis as the entire explanation for the turn-of-the-year effect in stock returns, nor, by implication, do they support the tax-loss-selling-pressure hypothesis as the complete explanation for the "small firm" effect in U.S. stocks returns.

Page Thumbnails

  • Thumbnail: Page 
185
    185
  • Thumbnail: Page 
186
    186
  • Thumbnail: Page 
187
    187
  • Thumbnail: Page 
188
    188
  • Thumbnail: Page 
189
    189
  • Thumbnail: Page 
190
    190
  • Thumbnail: Page 
191
    191
  • Thumbnail: Page 
192
    192