Tax payment-based liquidity effects: using historical evidence of a tax-based January effect to investigate a new seasonal

This dissertation used the daily Dow Jones Industrial Average (DJIA) for the 1897 through 1928 period to examine the potential existence of any market reactions, which may have resulted from the imposition and expansion of "withholding at the source" and quarterly and estimated tax payments. Providing for a natural laboratory, this period has previously been used to examine and gain insights into tax-loss selling (TLS) as a possible (partial) explanation for year-end changes in stock prices. Drawing from the methodologies and findings from these studies, this period is examined both (1) in its entirety and (2) as partitioned, using two different operational definitions of the pre-/post-tax period. Additional, contemporary period-based analyses were conducted for the 1918 and 1930 through 1994 periods, using both DJIA and Standard & Poor's (S&P) 500 Composite daily indexes, respectively. The focus was on changes in estimated tax payments dates/event windows to determine the contemporary existence of tax-based liquidity effects. Both historical (1897-1928) and contemporary (1930-1989) period evidence is found in support of the existence of a tax payment-based liquidity effect. Evidence developed over the entire period (1897-1994) suggests that this seasonal continues to exist for the April 15 (combined) tax filing and estimated tax payment date.

Name thesis:degree_name

Ph. D.

Level thesis:degree_level

doctoral

Discipline thesis:degree_discipline

Business Administration

Department dc:contributor.department

Business Administration

Grantor dc:publisher

Virginia Tech

Year dc:date.issued

1996

Author dc:creator

• Cataldo, Anthony J.

Chair dc:contributor.committeechair

• Seago, W. Eugene

Committee members dc:contributor.committeemember

• Brown, Robert M.
• Hicks, Sam A.
• McGuirk, Anya M.
• Kumar, Raman

• estimated tax
• January effect
• tax withholding

Statement dc:rights

• In Copyright

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

en

Dc Identifier Other

etd-11102005-141120

OAI identifier oai:identifier

oai:vtechworks.lib.vt.edu:10919/40314