Institutional trading and the turn-of-the-year effect

• 成果类型: Article
• 署名作者: Ng, LL; Wang, QH
• 署名单位: University of Wisconsin System; University of Wisconsin Milwaukee
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.05.009
• 发表日期: 2004
• 页码: 343-366
• 关键词: institutions; window-dressing; Risk-shifting; turn-of-the-year effect

摘要

This study provides evidence that links institutional trading behavior directly to anomalous turn-of-the-year return patterns of small stocks. We find that turn-of-the-year trading patterns of institutions reflect strategies generally consistent with window-dressing and risk-shifting behaviors. Institutions sell more loser small stocks in the last quarter of the year, but buy more small stocks, winners and losers, in the first quarter. Institutional buying (selling) of loser stocks at year-end weakens (strengthens) the turn-of-the-year effect. Buying of winner stocks after year-end causes a statistically significant, though weaker, effect. (C) 2004 Elsevier B.V. All rights reserved.