Tax Loss Selling And The January Effect : Evidence From Municipal Bond Closed End Funds  

Oleh:

Starks, Laura T. ; Li, Yong ; Lu, Zheng

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 6 (Des. 2006), page 3049-3068.
Topik: tax; studies; hypothesis testing; rates of return; closed end funds; municipal bonds; taxation
Fulltext: p 3049.pdf (168.54KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This paper provides direct evidence supporting the tax loss selling hypothesis as an explanation of the january effect. Examining turn of the year return and volume patterns for municipal bond closed end funds, which are held mostly by tax sensitive individual investors, we document a january effect for these funds, but not for their underlying assets. We provide evidence that this effect can be largely explained by tax loss selling activities at the previous year end. Moreover we find that funds associated with brokerage firms display more tax loss selling behaviour suggesting that tax counseling plays a role.

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