The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades

• 成果类型: Article
• 署名作者: Hu, Gang; McLean, R. David; Pontiff, Jeffrey; Wang, Qinghai
• 署名单位: Babson College; University of Alberta; Massachusetts Institute of Technology (MIT); Boston College; University System of Georgia; Georgia Institute of Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht057
• 发表日期: 2014
• 页码: 1593
• 关键词: MUTUAL FUND INDUSTRY; PORTFOLIO DISCLOSURES; performance; incentives; patterns; BEHAVIOR; Managers; COSTS; RISK; TAPE

摘要

At year-end, some allege that institutional investors try to mislead investors by placing trades that inflate performance (portfolio pumping) or distort reported holdings (window dressing). We contribute direct tests using daily institutional trades and find that year-end price inflation derives from a lack of institutional selling rather than institutional buying. In fact, institutional buying declines at year-end. Consistent with pumping, institutions tend to buy stocks in which they already have large positions. We find no evidence of window dressing, as institutions are not more likely to buy high-past return stocks or sell low-past return stocks at year- or quarter-end.