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Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note
The Journal of Finance
Vol. 40, No. 1 (Mar., 1985), pp. 333-343
Stable URL: http://www.jstor.org/stable/2328065
Page Count: 11
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This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn-of-the-year effect is found. This paper also extends previous authors' work on the subject to 1918-29. A January effect is found during that period.
The Journal of Finance © 1985 American Finance Association