Institutional Investors, Analyst Following, and the January Anomaly
发现一月效应不仅存在于小公司或低价股，在受广泛关注的大公司样本中，一月超额回报异常低，随后全年回升，支持博弈假说而非税收损失出售假说。
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.