The pricing of firms with expected losses/profits: The role of January
研究发现预期亏损/盈利与未来股票收益的关系在一月发生逆转，由通常的正相关变为负相关，部分由税收损失出售解释，提醒投资者在分析定价时需控制一月效应。
Abstract We examine the role of January in the relation between expected losses/profits and future stock returns. We predict and find that the relation between expected losses/profits and future returns reverses from the usual positive relation in non‐January months to a negative one in January. The reverse January relation is consistent across sample years, is observed in the United States and international markets, and is incremental to other variables associated with January returns. At least part of the reverse January relation is explained by tax‐loss selling. Further analysis shows that the reverse January relation results in a temporary price drift away from fundamental value . In other words, we find that abnormal positive (negative) future returns do not always indicate past under(over)valuation. Overall, our results illustrate the importance of controlling for the effect of January when examining how investors price expected losses/profits.