New Evidence on The January Effect Before Personal Income Taxes
利用1917年个人所得税引入前后的考尔斯工业指数股票数据，通过横截面分析个股回报与税收亏损出售潜力及规模的关系，发现一月效应在1917年后才显著，支持税收亏损出售假说。
ABSTRACT We examine the returns of stocks in Cowles Industrial Index before and after the introduction of personal income taxes in 1917. This is distinct from earlier studies because we cross‐sectionally analyze the relationship between the returns of the individual stocks and measures of tax‐loss selling potential and size. We find that excess returns at the turn‐of‐the‐year and for the month of January were not significant until after 1917. These results provide strong support for the tax‐loss selling hypothesis as an explanation for the January seasonal in the returns of small firms.