New evidence on the impact of tax-loss selling on the turn of the year effect

Article Abstract:

Ananalysis of the turn of the year effect is presented. The analysis focuses on the tax-loss selling hypothesis which initial research has considered but failed to validate consistently. Robustness related to the pre-tax period and daily data is evaluated. It is shown that a siginficant turn of the year effectwas observed before 1917. In addition, the effect is unaffected by other empirical variables including turn of the month effect and holiday effect.

Research, Stocks, Return on investment, Rate of return

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An evaluation of volatility forecasting techniques

Article Abstract:

Various models were tested for their ability to forecast aggregate monthly stock market volatility in Australia. The models examined include a random walk model, an historian mean model, a moving average model, a simple regression model, two standard GARCH models and two asymmetric GTR-GARCH models. The results show that the autoregression conditional heteroscedasticity class of models and a simple regression model give superior volatility forecasts.

Models, Australia, Usage, Economic aspects, Forecasts and trends, Stock-exchange, Stock exchanges, Economic forecasting, Autoregression (Statistics), Heteroscedasticity

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A note on the effects of contract adjustments on the prices of put and call options

Article Abstract:

Exchange authorities make appropriate adjustments on the provisions of all option contracts belonging to a class which includes a listed option contract whose underlying stock is affected by a capitalization change. One method of adjusting contract provisions is to lower the exercise price, which generally reduces put and call option prices. This approach, therefore, requires a modification of the put-call parity theorem.

Analysis, Prices and rates, Options (Finance)

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