The Buying and Selling Behavior of Individual Investors at the Turn of the Year
研究发现个人投资者在12月底买入/卖出比率低于正常水平，1月初高于正常水平，且1月初的买卖比率变化能解释46%的年初效应变化（1971-1985年）。
ABSTRACT The average returns on low‐capitalization stocks are unusually high relative to those on large‐capitalization stocks in early January, a phenomenon known as the turn‐of‐the‐year effect. This paper finds that the ratio of stock purchases to sales by individual investors displays a seasonal pattern, with individuals having a below‐normal buy/sell ratio in late December and an above‐normal ratio in early January. Year‐to‐year variation in the early January buy/sell ratio explains forty‐six percent of the year‐to‐year variation in the turn‐of‐the‐year effect during 1971–1985.