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• W2291036740 abstract "Numerous empirical studies have documented seasonal regularities in stock returns. The most prominent regularity finds that returns on common stocks, especially small stocks, in January are significantly and consistently larger th an those in any other calendar month. This phenomenon, so-called “January effect,” is found in Korean stock markets as in other major international stock markets. This January seasonality is one of the strong empirical inconsistencies with market efficiency since, if the markets are efficient, investors should eliminate any predictable abnormal returns in January by readjusting their portfolios. Several explanations for this phenomenon are offered. Among those, the most extensively investigated explanation is the tax-loss selling hypothesis. This hypothesis suggests that tax-motivated investors sell off previously declined shares in price toward the end of the calendar year in order to realize capital losses and take advantage of tax benefits, which create downward pressure on stock prices. After the turn of the year, prices bounce up as the selling pressure is relieved. However, the strong January effect is found in Korean stock markets even though there are no capital gain taxes in Korea. This evidence is inconsistent with the tax-loss selling * This research is suppoted by a Korea University Gant and FnGuide through the 2 nd Research Support Plan in 2005 of the Korea Securities Association." @default.
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• W2291036740 date "2006-01-01" @default.
• W2291036740 modified "2023-09-26" @default.
• W2291036740 title "The Risk of Earnings Information Uncertainty and the January Effect in Korean Stock Markets" @default.
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