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Tekijä: | Thomson, J. B. |
Otsikko: | Errors in recorded security prices and the turn-of-the-year effect |
Lehti: | Journal of Financial and Quantitative Analysis
1989 : DEC, VOL. 24:4, p. 513-526 |
Asiasana: | PRICE EARNINGS RATIOS SECURITIES CORPORATION TAX |
Kieli: | eng |
Tiivistelmä: | Analysis of tax-induced flow-supply pressures that cause end-of-the-year recorded security price errors, resulting in biased returns and /TOY/ turn-of-the-year stock return behaviour. The TOY or January effect. Effects of recorded price errors on measures of risk and return. Low-priced security hypothesis. The data. Investigation. Testing for TOY seasonality in market model regression coefficients. Five Tables illustrate the study. |
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