Insider trading, tax-loss selling and the turn-of-the-year effect

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

We examine the turn-of-the-year effect (January effect) in UK listed securities and find that it is significant but not persistent through time. In contrast to the US studies, equities of all sizes are affected. Although important, we reject the hypothesis that seasonalities in insider trading are the main determinant of the turn-of-the-year effect. In addition, the tax-loss selling hypothesis, which is commonly thought to be a cause of the January effect in the US, is tested with the April year-end for UK investors. We find evidence of excess abnormal share price returns. However, this does not impact upon excess abnormal share price returns in January. Our results are important because they provide an insight into stock return seasonality in the UK and reject some widely held beliefs on this issue.
LanguageEnglish
Pages73-84
Number of pages11
JournalInternational Review of Financial Analysis
Volume11
Issue number1
DOIs
Publication statusPublished - 2002

Fingerprint

Tax-loss selling
Insider trading
January effect
Share prices
Seasonality
Equity
Stock returns
Investors

Keywords

  • insider trading
  • January effect
  • tax-loss selling
  • financial management
  • taxation

Cite this

@article{e69678e514264298a2be81dace43e519,
title = "Insider trading, tax-loss selling and the turn-of-the-year effect",
abstract = "We examine the turn-of-the-year effect (January effect) in UK listed securities and find that it is significant but not persistent through time. In contrast to the US studies, equities of all sizes are affected. Although important, we reject the hypothesis that seasonalities in insider trading are the main determinant of the turn-of-the-year effect. In addition, the tax-loss selling hypothesis, which is commonly thought to be a cause of the January effect in the US, is tested with the April year-end for UK investors. We find evidence of excess abnormal share price returns. However, this does not impact upon excess abnormal share price returns in January. Our results are important because they provide an insight into stock return seasonality in the UK and reject some widely held beliefs on this issue.",
keywords = "insider trading, January effect, tax-loss selling, financial management, taxation",
author = "David Hillier and Andrew Marshall",
year = "2002",
doi = "10.1016/S1057-5219(01)00065-5",
language = "English",
volume = "11",
pages = "73--84",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
number = "1",

}

Insider trading, tax-loss selling and the turn-of-the-year effect. / Hillier, David; Marshall, Andrew.

In: International Review of Financial Analysis, Vol. 11, No. 1, 2002, p. 73-84.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Insider trading, tax-loss selling and the turn-of-the-year effect

AU - Hillier, David

AU - Marshall, Andrew

PY - 2002

Y1 - 2002

N2 - We examine the turn-of-the-year effect (January effect) in UK listed securities and find that it is significant but not persistent through time. In contrast to the US studies, equities of all sizes are affected. Although important, we reject the hypothesis that seasonalities in insider trading are the main determinant of the turn-of-the-year effect. In addition, the tax-loss selling hypothesis, which is commonly thought to be a cause of the January effect in the US, is tested with the April year-end for UK investors. We find evidence of excess abnormal share price returns. However, this does not impact upon excess abnormal share price returns in January. Our results are important because they provide an insight into stock return seasonality in the UK and reject some widely held beliefs on this issue.

AB - We examine the turn-of-the-year effect (January effect) in UK listed securities and find that it is significant but not persistent through time. In contrast to the US studies, equities of all sizes are affected. Although important, we reject the hypothesis that seasonalities in insider trading are the main determinant of the turn-of-the-year effect. In addition, the tax-loss selling hypothesis, which is commonly thought to be a cause of the January effect in the US, is tested with the April year-end for UK investors. We find evidence of excess abnormal share price returns. However, this does not impact upon excess abnormal share price returns in January. Our results are important because they provide an insight into stock return seasonality in the UK and reject some widely held beliefs on this issue.

KW - insider trading

KW - January effect

KW - tax-loss selling

KW - financial management

KW - taxation

UR - http://dx.doi.org/10.1016/S1057-5219(01)00065-5

U2 - 10.1016/S1057-5219(01)00065-5

DO - 10.1016/S1057-5219(01)00065-5

M3 - Article

VL - 11

SP - 73

EP - 84

JO - International Review of Financial Analysis

T2 - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

IS - 1

ER -