Monday, November 11, 2019

13 November 2019: The Turn-of-the-Year Effect before Income Taxes or Modern Institutional Investors

Vikas Mehrotra
Alberta School of Business, University of Alberta

Organised by
Indian Statistical Institute (ISI), Delhi Center

Favoured explanations for the large and persistent turn-of-the-year effect in stock returns are tax-loss selling and institutional investor window-dressing. A new dataset of pre-CRSP NYSE daily stock-level total returns reveals a statistically significant 2.2 percent turn-of-the-year market return between 1874 and 1917, a period preceding income taxes and modern institutional investors in the U.S. The turn-of- he-year return is higher for small, growth and extreme winner and loser stocks. Our evidence implies that taxes cannot be the sole explanation for the turn-of-the-year effect. Either some form of window-dressing predates modern institutional investors, or other explanations for the anomaly must be sought.

Date: November 13, 2019
Time: 03:30 P.M.

Seminar 2
Indian Statistical Institute Delhi Centre,
7, S. J. S. Sansanwal Marg,
New Delhi-110016 (INDIA)


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