Institutional Investors, Analyst Following, and the January Anomaly

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This article examines the existence of seasonality in the returns of highly visible firms in the U.S. in 2000. It is found that seasonality in returns is not a phenomenon observed only for small firms' stock or those with low prices. For a sample of widely-followed firms, strong seasonality in excess returns is reported. In contrast to results reported by previous studies of seasonal returns patterns in the stock of small, low stock price firms, the firms in the sample have unusually low excess returns in January and returns adjust upward over the remainder of the year. This result holds across uncertainty and market value quartiles. Thus, the market value and uncertainty do not appear to be important determinants of seasonality.