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Applied Economics Letters Volume 22, 2015 - Issue 13
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Original Articles

New evidence of quarterly return patterns in the Spanish stock market

Cristina OrtizFaculty of Business and Economics, University of Zaragoza, Zaragoza, SpainView further author information
,
José María Ortiz de ZárateGovernment of Aragón, Zaragoza, SpainView further author information
&
Luis VicenteFaculty of Business and Economics, University of Zaragoza, Zaragoza, SpainCorrespondence[email protected]
View further author information
Pages 1025-1029 | Published online: 02 Jan 2015

References

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  • Haug, M. and Hirschey, M. (2006) The January effect, Financial Analysts Journal, 62, 78–88. doi:10.2469/faj.v62.n5.4284
  • Haugen, R. A. and Jorion, P. (1996) The January effect: still there after all these years, Financial Analysts Journal, 52, 27–31. doi:10.2469/faj.v52.n1.1963
  • He, J., Ng, L. and Wang, Q. (2004) Quarterly trading patterns of financial institutions, The Journal of Business, 77, 493–509. doi:10.1086/386527
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  • Ng, L. and Wang, Q. (2004) Institutional trading and the turn-of-the-year effect, Journal of Financial Economics, 74, 343–66. doi:10.1016/j.jfineco.2003.05.009
  • Ortiz, C., Ramírez, G. and Vicente, L. (2010) Quarterly return patterns in the Spanish stock market, Applied Financial Economics, 20, 1829–38. doi:10.1080/09603107.2010.528366
  • Poterba, J. M. and Weisbenner, S. J. (2001) Capital gains tax rules, tax-loss trading, and turn-of-the-year returns, The Journal of Finance, 56, 353–68. doi:10.1111/0022-1082.00328
  • Rozeff, M. S. and Kinney, W. R. (1976) Capital market seasonality: the case of stock returns, Journal of Financial Economics, 3, 379–402. doi:10.1016/0304-405X(76)90028-3
  • Sias, R. and Starks, L. (1997) Institutions and individuals at the turn-of-the-year, The Journal of Finance, 52, 1543–62. doi:10.1111/j.1540-6261.1997.tb01120.x

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