A Reexamination of Institutions and Individuals at the Turn of the Year

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.