This study investigates the realizable returns on portfolios at the turn-of-the-year. Using an intraday simulation that accounts for the volumes offered or wanted at market bid-ask prices, large-capitalization securities significantly outperform small-capitalization securities by 2.4% and 6.5%, depending on whether the portfolios were formed on the last day of the taxation year or were formed over the last month of the trading year. In no one year could the small-capitalization portfolio be completely divested by the end of the holding period,suggesting that investors are not remunerated for the illiquidity in this portfolio. Results based on returns calculated by using the mean of the bid-ask spread show that the results are not derived solely from transaction costs. Ó ۲۰۰۰ Elsevier Science Inc. All rights reserved.