Can Tax‐Loss Selling Explain the January Seasonal in Stock Returns?
分析税收损失卖出假说对股票收益一月季节性的解释力，发现一月季节性与长期损失的关系与短期损失一样强，这与最优税收交易模型不一致。
ABSTRACT This paper analyzes the tax‐loss selling hypothesis as an explanation of the January seasonal in stock returns and argues that rational tax‐loss selling implies little relation between the January seasonal and the long‐term loss. Empirical results show that the January seasonal is as strongly related to the long‐term loss as it is to the short‐term loss. The evidence is inconsistent with a model that explains the January seasonal by optimal tax trading.