Stock Return Seasonalities And the Tax Loss Selling Hypothesis Analysis of the

Terry a Marsh

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, 10;'' t'-'l^;;;, T-''^^^"*^^"»3 ^-fi J09t92 ^cnnsD ?, w -^:V or-:; ::.. !; :■ ■. ^o^ ^U. «oiio?- . - The results are given in Table 4. As in Table 3, the removal of market . -9 effects by model (3) accentuates the July seasonal relative to January, and : 3^ this is more pronounced using Dimson's estimator in in?)del (4). However>-;ij:. ;83 even the use of the Dimson estimator and January and July dummies does notiriiiio;. Remove the "size effect" — the average abnormal monthly returns across ...other .. S months for portfolio 1 still exceed abnormal returns for portfolio 2 by over q 4%. ^•"— -^^ it^s:jA:^ SPE-'yr. ^ssp-iii S/U ^U s. W 6. Summary and Conclusions ^^ "^ ''^^-'•^' ^^"^ ^- ^-^^'^' ^o noicfsoilqmi ■?■'. ;' ri. 7i;0~f, -1-;>Q, V. ;r/ . , . Ir, .. , .
Evidence from U. S. Stock returns suggests that a large proportion ofasoxa the "size effect" consists of a premium for small firms in Januaryv^'i I'Ssa enj Australian returns show an average premium of at least 4% per month for the smallest-firm decile (portfolio 1) relative to any other decile, and this-: ;..

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