{"title":"Corporate shareholdings, tax-loss selling, and the (mis)pricing of information asymmetry","authors":"Mark Wilson, Lijuan Zhang","doi":"10.1111/1911-3846.13067","DOIUrl":null,"url":null,"abstract":"<p>We examine the extent to which the distribution of corporate shareholdings affects seasonality in realized returns and the resulting implications for the conditions under which information asymmetry (IA) appears to be priced. Earlier studies have found that IA attracts a return premium only for firms with low competition for their stock, as proxied by the number of common shareholders or the number and concentration of institutional holdings. However, we demonstrate that the association between these proxies for competition and the pricing of IA is restricted to the month of January, is increasing in the potential for tax-loss selling, concentrates in the first days of the tax year, and exists regardless of firms' fiscal year-end dates. Overall, our evidence suggests that the association between the distribution of shareholdings and the pricing of IA reflects variation in mispricing arising from tax-loss selling rather than compensation for the risk of trading at an information disadvantage.</p>","PeriodicalId":10595,"journal":{"name":"Contemporary Accounting Research","volume":"42 4","pages":"2263-2292"},"PeriodicalIF":4.9000,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/1911-3846.13067","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Contemporary Accounting Research","FirstCategoryId":"91","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/1911-3846.13067","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
We examine the extent to which the distribution of corporate shareholdings affects seasonality in realized returns and the resulting implications for the conditions under which information asymmetry (IA) appears to be priced. Earlier studies have found that IA attracts a return premium only for firms with low competition for their stock, as proxied by the number of common shareholders or the number and concentration of institutional holdings. However, we demonstrate that the association between these proxies for competition and the pricing of IA is restricted to the month of January, is increasing in the potential for tax-loss selling, concentrates in the first days of the tax year, and exists regardless of firms' fiscal year-end dates. Overall, our evidence suggests that the association between the distribution of shareholdings and the pricing of IA reflects variation in mispricing arising from tax-loss selling rather than compensation for the risk of trading at an information disadvantage.
期刊介绍：
Contemporary Accounting Research (CAR) is the premiere research journal of the Canadian Academic Accounting Association, which publishes leading- edge research that contributes to our understanding of all aspects of accounting"s role within organizations, markets or society. Canadian based, increasingly global in scope, CAR seeks to reflect the geographical and intellectual diversity in accounting research. To accomplish this, CAR will continue to publish in its traditional areas of excellence, while seeking to more fully represent other research streams in its pages, so as to continue and expand its tradition of excellence.
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