Can Tax‐Loss Selling Explain the January Effect? A Note

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Size-related anomalies and stock return seasonality

1983 • 1,852 citations

Capital market seasonality: The case of stock returns

1976 • 1,226 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

The anomalous stock market behavior of small firms in January

1983 • 885 citations

Nonlinear Statistical Models

1987 • 776 citations

Stock market seasonality

1983 • 594 citations

Vas Ist Das?

1983 • 433 citations

Note on the Correlation of First Differences of Averages in a Random Chain

1960 • 408 citations

New evidence on the nature of size-related anomalies in stock prices

1983 • 362 citations

Stock return seasonalities and the tax-loss selling hypothesis: analysis of the arguments and Australian evidence

2011 • 347 citations

Certain Observations on Seasonal Movements in Stock Prices

1942 • 316 citations

Optimal stock trading with personal taxes

1984 • 301 citations

Optimal bond trading with personal taxes

1984 • 284 citations

CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR

1977 • 256 citations

A Tax Loss Trading Rule

1977 • 247 citations

Volume and turn-of-the-year behavior

1984 • 168 citations

The Turn‐of‐the‐Year in Canada

1984 • 166 citations

Year‐End Tax‐Induced Sales and Stock Market Seasonality

1983 • 142 citations

A Revision of Previous Conclusions Regarding Stock Price Behavior

1960 • 85 citations

Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note

1985 • 77 citations

Generic stocks

1985 • 74 citations

A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

1987 • 69 citations