But although an explanation in terms of tax incentives might satisfy market practitioners, who knew of the turn-of-the-year effect's existence, though apparently not of its concentration in small stocks, before academics identified it (Branch 1977), it was "ridiculous" from the viewpoint of efficient-market theory (Roll 1983, p. 20). Surely any effects of temporary sales pressures and purchase pressures would be minimized by arbitrageurs exploiting those effects. If the market was efficient, surely other investors not subject to turnof-the-year tax incentives would make use of the effect to earn excess returns.

Donald MacKenzie, An Engine, Not a Camera, loc. 425