A re- examination of size and seasonality anomalies in Australian equity returns

McIvor, Julie. (1998). A re- examination of size and seasonality anomalies in Australian equity returns Master's Thesis, Dept. of Commerce, University of Queensland.

       
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Author McIvor, Julie.
Thesis Title A re- examination of size and seasonality anomalies in Australian equity returns
School, Centre or Institute Dept. of Commerce
Institution University of Queensland
Publication date 1998
Thesis type Master's Thesis
Total pages 114
Language eng
Subjects 14 Economics
Formatted abstract An abundance of research has surfaced in the U. S., Australian and other international markets documenting regularities in stock returns such as a January seasonal and a small firm effect. One of the explanations offered for these findings is the tax-loss selling hypothesis with mixed support for its validity. This study re-examines several of the wellknown anomalies (size and seasonality) over the 1974 to 1997 period. The introduction of capital gains tax legislation in 1985 has potential implications for these anomalies, in particular the tax-loss selling hypothesis explanation of seasonality, and these implications are investigated. In addition, the recent conjecture for the United States that the size effect is in fact dominated by a share price effect is explored in the Australian equity market. This study documents the persistence of the size effect and seasonalities in Australian equity returns over the period 1974 to 1997. The implications of findings for the tax-loss selling hypothesis are mixed. In the light of the evidence it is difficult to draw strong conclusions except to say the tax-loss selling hypothesis fails to fully explain the anomalous findings. Evidence of a low price effect in Australian equity returns for the period under study is also documented. Furthermore, in the month of July, the low price effect is found to dominate the size effect.

 
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