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Institutional Investors, Analyst Following, and the January Anomaly

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  • Lucy F. Ackert
  • George Athanassakos

Abstract

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.

Suggested Citation

  • Lucy F. Ackert & George Athanassakos, 2000. "Institutional Investors, Analyst Following, and the January Anomaly," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3‐4), pages 469-485, April.
    • Handle: RePEc:bla:jbfnac:v:27:y:2000:i:3-4:p:469-485
    DOI: 10.1111/1468-5957.00321
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    Cited by:

    1. Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012. "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 418-427.
    2. Cristina Ortiz & Gloria Ramírez & Luis Vicente, 2015. "Mutual Fund Trading and Portfolio Disclosures," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 83-102, August.
    3. Lucy F. Ackert & George Athanassakos, 2021. "Gamesmanship and Seasonality in U.S. Stock Returns," JRFM, MDPI, vol. 14(5), pages 1-11, May.
    4. Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
    5. How, Janice & Verhoeven, Peter & Abdul Wahab, Effiezal Aswadi, 2014. "Institutional investors, political connections and analyst following in Malaysia," Economic Modelling, Elsevier, vol. 43(C), pages 158-167.
    6. Cristina Ortiz & Gloria Ramirez & Luis Vicente, 2010. "Quarterly return patterns in the Spanish stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1829-1838.

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