Calendrier du 27 novembre 2018
PSI-PSE (Petit Séminaire Informel de la Paris School of Economics) Seminar
Du 27/11/2018 de 17:00 à 18:00
SHABAYEK Shaden (PSE)
Pricing in networks with incomplete information
écrit avec Francis Bloch (PSE)
Applied Economics Lunch Seminar
Du 27/11/2018 de 12:30 à 13:30
Salle R2-01, Campus Jourdan, 48 boulevard Jourdan, 75014 Paris
LEBRIS David (TSE)
Testing the Tax-Loss Selling Explanation of the January Effect: Evidence from a 'Confiscatory' Tax Implemented in France in 1921
For almost a century, we document a significant January effect on the French equity market. We find strong evidences in favor of the tax-loss selling explanation for this phenomenon. Indeed, the January effect was insignificant before the introduction of a “confiscatory tax” on capital gains in 1921, and became strongly significant afterward. Moreover, the rate of taxation is statistically significant to explain the strength of the January effect over time. Studying individual stock returns, a DiffInDiff investigation shows that past losers, outperform past winners at the turn of the year but only after 1921, which reinforces further the tax-loss selling explanation of the January effect.