Year-End Tax-Induced Sales and Stock Market Seasonality
发现，过去35年中，许多股票因年底为避税而抛售，导致12月价格暂时下跌，但1月回升，这很大程度上解释了1月的高回报现象，且对小公司影响更显著。
The paper relates two phenomena in the stock market: the high return during the month of January and the apparent existence of widespread sales of stocks for tax purposes towards the end of the fiscal year. The findings suggest that, due to the tax-induced sales, the price of many stocks over the last 35 years was temporarily depressed in December but recovered in the following January. This price recovery is a major contributor to the high returns observed in January. The tax effect is present in firms of all sizes but much more pronounced for small firms. The analysis also indicates that a more precise identification of the tax-switch candidates may prove that the tax-induced sales are, in fact, the sole contributor to the high January's returns.