Tax‐loss selling and the January effect revisited: Evidence from municipal bond closed‐end funds and exchange‐traded funds
研究税收损失卖出假说对一月效应的解释力，发现市政债券封闭式基金的一月效应近年增强且符合该假说，但交易所交易基金的一月效应较小且无法用税收损失卖出解释。
Abstract We revisit the tax‐loss selling hypothesis as an explanation for the January effect. We expand on prior empirical evidence from municipal bond closed‐end funds (CEFs) by extending the sample period by 19 years and adding exchange‐traded funds (ETFs). Our sample covers the introduction and rapid growth of municipal bond ETFs, significant changes to municipal bond market structure, and the modernization of tax‐loss selling practices. The January effect in municipal bond CEFs has become stronger in recent years and is consistent with the tax‐loss hypothesis. The January effect in municipal bond ETFs is smaller and cannot be explained by tax‐loss selling.