Errors in Recorded Security Prices and the Turn-of-the-Year Effect
提出税收导致的年末记录价格错误可能造成年初股票回报异常，实证检验支持这一解释。
Errors in recorded security prices are a source of misspecification in the market model.If recorded-price errors are sufficiently nonrandom, they result in biased returns and biased and inconsistent estimates of market model regression coefficients.This paper argues that tax-induced flow-supply pressures result in end-of-the-year recorded-price errors that are nonrandom enough to cause the appearance of anomalous turn-of-the-year stock return behavior.Empirical tests of returns and market model regression coefficients during the turn-of-the-year period cannot reject this errors-in-variables explanation of the turn-of-the-year effect.