A Reexamination of Institutions and Individuals at the Turn of the Year
Quarterly Journal of Business and Economics
This study reexamines the findings ofSias and Starks (1997). They evaluate the tax-loss selling hypothesis and the window dressing hypothesis as explanations for the turn-of-the-year effect. After controlling for market capitalization, they find that stocks with a greater percentage of individual ownership outperform stocks with a greater percentage of institutional ownership at the turn of the year, consistent with the tax-loss selling explanation. This study reexamines the issue, adjusting for risk and controlling more closely for share price differences, and finds results that support neither hypothesis.
Johnston, Ken, Don R. Cox, Anthony G. Barilla.
"A Reexamination of Institutions and Individuals at the Turn of the Year."
Quarterly Journal of Business and Economics, 39 (4): 51-59.