Article1993

TAX‐LOSS SELLING, INSTITUTIONAL INVESTORS, AND THE JANUARY EFFECT: A NOTE

30 citations0/0 files storedThe Journal of Financial Research

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

Abstract In this note we test the hypothesis that trading by tax‐motivated individual investors is responsible for the January effect. We examine the ownership structure of a large sample of firms over a four‐year period and find that the small firms that usually exhibit high January returns have low institutional ownership. After controlling for firm size, we still find that institutional ownership is significantly related to January abnormal returns. These results suggest that one reason the January effect may concentrate in small firms is because these firms are held by tax‐motivated individual investors.

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References

1981The relationship between return and market value of common stocks 1983Size-related anomalies and stock return seasonality 1976Capital market seasonality: The case of stock returns 1983The anomalous stock market behavior of small firms in January 1988The Buying and Selling Behavior of Individual Investors at the Turn of the Year 1974Estimation of linear models with crossed-error structure 1983Vas Ist Das?1984Risk and return

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1998The January Effect is not Driven by Tax Loss Selling 1996Portfolio rebalancing, institutional ownership, and the small firm‐January effect 2015Is the January effect rational? Insights from the accounting valuation model

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