This article develops a variety of new evidence on tax-loss selling and the January effect. Individual stocks are divided into categories depending on a tax-loss measure. By November, a given year can be categorized as a high tax loss or a low tax loss year. I find that December returns are...

The October 1987 crash of stock prices is a largely unexplainable event, much like any other setting of prices in the stock market, only larger. If anything the market operated efficiently in moving prices to a new level that tended to persist for many months thereafter, thus indicating that the...