A November Effect? Revisiting the Tax-Loss-Selling Hypothesis
发现1986年税收改革法案和共同基金纳税年度变更后，十一月出现了税收损失出售效应，并认为该假说能更好解释股市中著名的“一月效应”。
This study documents a November tax-loss-selling effect that has become evident following the enactment of the Tax Reform Act of 1986 and the change in tax-year-end for mutual funds. The results suggest that the tax-loss-selling hypothesis best explains the well-known January effect observed in stock returns.