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- Title
Retail investors exonerated: the case of the January effect.
- Authors
Henker, Julia; Paul, Debapriya J.
- Abstract
We dispel the belief that the January effect is due to retail investor trading. Previous studies suggest that retail investors, affected by behavioural biases and disproportionally invested in small capitalization stocks, are the source of the January effect. Furthermore, the literature regards retail investor trading and the tax-loss selling hypothesis as essentially the same explanation. We separate tax implications and market capitalization to show that retail traders are not the cause of the January effect. Our study is an important direct test of whether retail trading causes market anomalies.
- Subjects
INDIVIDUAL investors; EXONERATION; EFFICIENT market theory; JANUARY effect (Investments); SECURITIES trading; STOCKS (Finance); CORPORATE finance; TAX accounting
- Publication
Accounting & Finance, 2012, Vol 52, Issue 4, p1083
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2011.00449.x