STOCK MARKET SEASONALITY AND TAXES: AN EXAMINATION OF THE TAX‐LOSS SELLING HYPOTHESIS
检验了税收损失出售假说对股票收益季节性的解释力，发现先前研究支持该假说的证据可能源于虚假相关。
Recent empirical studies have found evidence that supports the tax loss selling explanation of seasonal effects in stock returns. Using other test procedures, the present authors conclude that the support found in other studies is likely to be the result of spurious correlation between returns of stocks selected as tax‐loss selling candidates and the January returns of these stocks.