The general idea is to "revisit" calendar anomalies in the stock market such as the January effect, with the addition (I believe, a quick search didn't give me any results) of a potential anomaly I would call something along the lines of the Fiscal Year effect. This would be an anomaly that looks at if the first month of a fiscal year and whether it has abnormal returns. The theoretical idea behind it is that the January effect (larger than expected via the efficient market hypothesis) is party due to tax-loss selling (phenomenon that people only sell losing stocks at the end of the year to realize the loss and be tax-deductible. Goes paired with the behavioral bias called disposition effect if I'm not mistaken). So the question I am curious to is, is the January effect due to the new change or is it actually linked to a fiscal aspect.
Sample Solution