Return Seasonality in Stocks and Their Underlying Assets: Tax-Loss Selling Versus Information Explanations
对比了税收亏损出售和跨期信息变化对股票一月季节性的解释力。通过封闭式基金份额与净资产价值的对比，发现信息变化并非一月效应的必要条件，而税收亏损出售的解释得到支持。
Results of tests contrasting tax-loss selling with intertemporal information variation as explanations of the January seasonal in stock returns are reported. Closed-end fund shares display the typical size-related January seasonal while their net asset values do not. Interpreting the net asset value return as a proxy for information about underlying assets, this result indicates information variation is not a necessary condition for the January effect in stocks. The share returns at the turn of the year are negatively related to their mean preceding year returns and positively related to the standard deviations of their preceding year returns. These results are consistent with tax-loss selling.