Date of Award


Degree Type


Degree Name

Doctor of Philosophy


This dissertation uses U.S. and Canadian trade-to-trade data to test the validity of the tax loss selling, portfolio rebalancing and disposition hypotheses. This data set permits more powerful tests than previously possible for two reasons. First, in the U.S. the taxation and the calendar year ends are co-incident; in Canada they differ by five trading days. Second, the availability of quote and transaction data permits classification of buyer- or seller-initiated trades.;I find evidence that the end of the taxation year is a determinant of year end trading. December has the most significant levels of seller-initiated trading, while January exhibits significant buyer-initiated trading. Based on analyses of individual, institutional and professional traders, I conclude that year end trading volume is tax related but is not necessarily related to capital loss realization. Year end returns are related significantly to the level of buyer-initiated trading. I find no evidence of potentially profitable investment opportunities.;Buying activity is concentrated in the first seven months and selling behavior dominates the last five months of the year. Analysis of intramonthly trading reveals that the mean number of trades is higher and the standard deviation is smaller over the first half as compared to the last half of the month. These differences may explain the observed monthly anomaly of larger first half returns.;Although most securities display a greater probability of seller-initiated trading in December, the portfolio comprising the largest capital gains exhibits significant buyer-initiated activity, supporting allegations of window dressing by professional fund managers. This portfolio also displays similar activity in January refuting the disposition hypothesis.;The results also highlight the caution to be exercised when employing rates of return in empirical analysis. The systematic tendency for security prices to shift from the bid to the ask price is widespread, especially for small valued transactions. Assuming these trades represent activity in small firms, the resulting mismeasurement of return may be a contributing factor in studies which find small firms outperform the market at the turn-of-the-year.



To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.