Chen, Qiwei; Jack, Lisa; Wood, Andrew - In: Applied Financial Economics 17 (2007) 13, pp. 1027-1035
We examine monthly seasonal returns for the UK during the period 1955 to 2003. We identify four distinct tax regimes during which both the incentive and ability to tax-loss sell varies. In support of the tax-loss selling hypothesis, we find that the relationship between past losses and both...