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- Title
Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note.
- Authors
SCHULTZ, PAUL
- Abstract
This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn-of-the-year effect is found. This paper also extends previous authors' work on the subject to 1918-29. A January effect is found during that period.
- Subjects
STOCK prices; RATE of return; SMALL business; GOVERNMENT revenue laws; ECONOMIC seasonal variations; STOCK price forecasting; TIME series analysis; INCOME tax; ECONOMIC statistics; ECONOMIC forecasting; EXPECTED returns; JANUARY
- Publication
Journal of Finance (Wiley-Blackwell), 1985, Vol 40, Issue 1, p333
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1985.tb04954.x