Tax‐Loss Selling and the January Effect: Evidence from Municipal Bond Closed‐End Funds
研究市政债券封闭式基金在年末的税收损失卖出行为，发现这能解释这些基金的一月效应，但对底层资产无效，且券商关联基金更明显。
ABSTRACT This paper provides direct evidence supporting the tax‐loss selling hypothesis as an explanation of the January effect. Examining turn‐of‐the‐year return and volume patterns for municipal bond closed‐end funds, which are held mostly by tax‐sensitive individual investors, we document a January effect for these funds, but not for their underlying assets. We provide evidence that this effect can be largely explained by tax‐loss selling activities at the previous year‐end. Moreover, we find that funds associated with brokerage firms display more tax‐loss selling behavior, suggesting that tax counseling plays a role.