Abstract
Size and turn-of-the-year-related stock pricing anomalies are documented on the Helsinki Stock Exchange (HESE), Finland. This small exchange exhibits a statistically highly significant small-firm premium, even after correction for several of the shortcomings of the CRSP tape. Returns are also found to be markedly seasonal. January, and for the smallest stocks February, returns are found to be significantly in excess of the expected. A tax-loss-selling hypothesis on the formation of January returns, incorporating the institutional feature that capital losses may only be deducted from capital gains, is supported by the data. In some contrast to this explanation, the article shows that the turn-of-the-year rally actually appears to start in the largest stocks by mid-December.
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