Institutions and Individuals at the Turn-of-the-Year
检验了税收损失出售假说和橱窗装饰假说对年初效应（turn-of-the-year effect）的解释力，发现个人投资者主导的股票效应更显著，支持税收损失出售假说。
This study evaluates the tax-loss-selling hypothesis against the window-dressing hypothesis as explanations for the turn-of-the-year return anomalies. We examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former. Controlling for capitalization, we find that in early January, stocks with greater individual investor interest outperform stocks with greater institutional investor interest. These results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value. The results are most consistent with the tax-loss-selling hypothesis as an explanation for the turn-of-the-year effect.