tax loss selling跟一月份效应有什么关系

问题如下：

Which of the following is least likely to explain the January effect anomaly?

选项：

A.

Tax-loss selling.

B.

Release of new information in January.

C.

Window dressing of portfolio holdings.

解释：

B is correct.

The excess returns in January are not attributed to any new information or news; however, research has found that part of the seasonal pattern can be explained by tax-loss selling and portfolio window dressing.

考点：Tests, Implications And Conclusions Of EMH

这道题让你选“least likely”最不可能解释一月效应的选项。造成一月效应的原因不是由于在一月份公布的新的消息造成的，所以选B。