{"title":"Tax-loss selling and the January effect revisited: Evidence from municipal bond closed-end funds and exchange-traded funds","authors":"Allen Carrion, Jiang Zhang","doi":"10.1111/jfir.12384","DOIUrl":null,"url":null,"abstract":"<p>We revisit the tax-loss selling hypothesis as an explanation for the January effect. We expand on prior empirical evidence from municipal bond closed-end funds (CEFs) by extending the sample period by 19 years and adding exchange-traded funds (ETFs). Our sample covers the introduction and rapid growth of municipal bond ETFs, significant changes to municipal bond market structure, and the modernization of tax-loss selling practices. The January effect in municipal bond CEFs has become stronger in recent years and is consistent with the tax-loss hypothesis. The January effect in municipal bond ETFs is smaller and cannot be explained by tax-loss selling.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"47 4","pages":"1207-1227"},"PeriodicalIF":1.5000,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Research","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jfir.12384","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We revisit the tax-loss selling hypothesis as an explanation for the January effect. We expand on prior empirical evidence from municipal bond closed-end funds (CEFs) by extending the sample period by 19 years and adding exchange-traded funds (ETFs). Our sample covers the introduction and rapid growth of municipal bond ETFs, significant changes to municipal bond market structure, and the modernization of tax-loss selling practices. The January effect in municipal bond CEFs has become stronger in recent years and is consistent with the tax-loss hypothesis. The January effect in municipal bond ETFs is smaller and cannot be explained by tax-loss selling.
期刊介绍：
The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
