The Buying and Selling Behavior of Individual Investors at the Turn of the Year

The Buying and Selling Behavior of Individual Investors at the Turn of the Year 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

The Buying and Selling Behavior of Individual Investors at the Turn of the Year

The Journal of Finance, Volume 43 (3) – Jul 1, 1988

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Publisher
Wiley
Copyright
1988 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1988.tb04601.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Journal of FinanceWiley

Published: Jul 1, 1988

References

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