Johnston, Ken; Paul, Chris - In: Journal of Economics and Finance 29 (2005) 2, pp. 280-288
Tax-loss selling by individuals has long been thought to be a major factor driving the January effect. The Tax Reform Act of 1986 changed the tax-year end for mutual funds to October 31 and increased the marginal tax rate, creating a natural experiment allowing Bhabra, Dhillon, and Ramirez...