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Institutional Investors, Analyst Following, and the January Anomaly
Author(s) -
Ackert Lucy F.,
Athanassakos George
Publication year - 2000
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00321
Subject(s) - stock (firearms) , seasonality , january effect , economics , monetary economics , stock price , anomaly (physics) , financial economics , business , demographic economics , stock market , geography , statistics , paleontology , context (archaeology) , physics , mathematics , archaeology , condensed matter physics , series (stratigraphy) , biology
Average stock returns for small, low stock price firms are higher in January than for the rest of the year. Two explanations have received a great deal of attention: tax‐loss selling and gamesmanship. This paper documents that seasonality in returns is not a phenomenon observed only for small firms’ stock or those with low prices. Strong seasonality in excess returns is reported for a sample of widely followed firms. Sample firms have unusually low excess returns in January and returns adjust upward over the year. These results are consistent with the gamesmanship hypothesis, but not the tax‐loss‐selling hypothesis.