Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence

A ‘tax-loss selling’ hypothesis has frequently been advanced to explain the ‘January effect’ reported in this issue by Keim. This paper concludes that U.S. tax laws do not unambiguously predict such an effect. Since Australia has similar tax laws but a July–June tax year, the hypothesis predicts a small-firm July premium. Australian returns show pronounced December–January and July–August seasonals, and a premium for the smallest-firm decile of about four percent per month across all months. This contrasts with the U.S. data in which the small-firm premium is concentrated in January. We conclude that the relation between the U.S. tax year and the January seasonal may be more correlation than causation

Arbitrage, Nontrading, and Stale Prices: October 1987.

This article explains a puzzle created by the Standard and Poor's 500 cash and futures prices during the crash of October 1987. The cash index appears to be a moving average of the futures, but nontrading in constituent stocks explains only the initial period of delayed openings. However, execution of stale limit buy orders, given the high volume and NYSE market mechanisms at the time, resulted in extraordinary levels of stock prices that were not caused by nontrading. The model is supported in aggregate S&P data and transactions data for individual stocks. Copyright 1992 by University of Chicago Press.

One Market? Stocks, Futures, and Options during October 1987.

The authors provide new evidence regarding the degree of integration among markets for stocks, futures, and options prior to and during the October 1987 market crash. Where previous analyses have resulted in recommendations for the implementation of circuit breakers, the coordination of margin requirements across markets, and changes in regulatory jurisdiction, their analysis indicates that delinkage between markets during the crash was primarily caused by an antiquated mechanism for processing stock-market orders. The results suggest that market integration may be better served by efficient order execution than by further restricting markets. Copyright 1992 by American Finance Association.

Quantifying the thermodynamic entropy budget of the land surface: is this useful?

As a system is moved away from a state of thermodynamic equilibrium, spatial and temporal heterogeneity is induced. A possible methodology to assess these impacts is to examine the thermodynamic entropy budget and assess the role of entropy production and transfer between the surface and the atmosphere. Here, we adopted this thermodynamic framework to examine the implications of changing vegetation fractional cover on land surface energy exchange processes using the NOAH land surface model and eddy covariance observations. Simulations that varied the relative fraction of vegetation were used to calculate the resultant entropy budget as a function of fraction of vegetation. Results showed that increasing vegetation fraction increases entropy production by the land surface while decreasing the overall entropy budget (the rate of change in entropy at the surface). This is accomplished largely via simultaneous increase in the entropy production associated with the absorption of solar radiation and a decline in the Bowen ratio (ratio of sensible to latent heat flux), which leads to increasing the entropy export associated with the latent heat flux during the daylight hours and dominated by entropy transfer associated with sensible heat and soil heat fluxes during the nighttime hours. Eddy covariance observations also show that the entropy production has a consistent sensitivity to land cover, while the overall entropy budget appears most related to the net radiation at the surface, however with a large variance. This implies that quantifying the thermodynamic entropy budget and entropy production is a useful metric for assessing biosphere-atmosphere-hydrosphere system interactions.ISSN:2190-4987ISSN:2190-497