Discuss the predictability of end-of-financial year returns implied by the event study results with specific reference to "tax-loss selling" and "window dressing". (5 marks)

d) Based on the event study results, recommend an end-of-financial year trading strategy. Assume there are no short-selling constraints. (5 marks)

e) Identify the practical limitations to implementing your recommended end-of-financial year trading strategy. (3 marks

	Obs.	[-15,0]	[+1,+15]	[15,+15]
June/July event windows		All	356	-0.0009	-0.0007	-0.0016
(-0.3045)	(-0.275)	(-0.4589)
(a)	Past winners >0	252	0.0053	-0.0030	0.0023
(1.6188)	(-1.1007)	(0.622)
Past losers <0	104	-0.0161**	0.0050	-0.0111
(-2.3562)	(1.0258)	(-1.406)
(b)	Past winners in up-markets >0 &>0	206	0.0030	-0.0036	-0.0003
(0.9206)	(-1.3979)	(-0.0877)
Past winners in down-markets >0 &<0	46	0.0159	-0.0005	0.0159
(1.4698)	(-0.047)	(1.6106)
Past losers in up-markets <0 &>0	50	-0.0248	0.0042	-0.0186
(-2.5347)	(0.668)	(-1.8503)
Past losers in down-markets <0 &<0	54	-0.0081	0.0058	-0.1774
(-0.8523)	(0.7739)	(-6.3816)