Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note

  • Author(s): PAUL SCHULTZ
  • Published: Apr 30, 2012
  • Pages: 333-343
  • DOI: 10.1111/j.1540-6261.1985.tb04954.x


This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn‐of‐the‐year effect is found. This paper also extends previous authors' work on the subject to 1918–29. A January effect is found during that period.

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