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Institutions and Individuals at the Turn-of-the-Year

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Author Info
 Sias, Richard W
Starks, Laura T
Abstract

This article evaluates the tax-loss-selling hypothesis against the window-dressing hypothesis as explanations for turn-of-the-year anomalies. The authors examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former. Controlling for capitalization, they find that, in early January (late December), stocks with greater individual investor interest outperform (underperform) stocks with greater institutional investor interest. These results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value. The results are more consistent with the tax-loss-selling hypothesis as an explanation for the turn-of-the-year effect. Copyright 1997 by American Finance Association.

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 52 (1997)
Issue (Month): 4 (September)
Pages: 1543-62
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Handle: RePEc:bla:jfinan:v:52:y:1997:i:4:p:1543-62

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  1. Dai, Qinglei & Rydqvist, Kristian, 2007. "Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day," CEPR Discussion Papers 6074, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  3. David K. Musto, 1997. "Investment Decisions Depend on Portfolio Disclosure," Center for Financial Institutions Working Papers 97-49, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  4. Khalid Al-Saad & Imad A. Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(1), pages 63-71, January. [Downloadable!] (restricted)
  5. Bohl, Martin T. & Gottschalk, Katrin & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," MPRA Paper 677, University Library of Munich, Germany, revised Nov 2006. [Downloadable!]
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