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Paper Stats:
Abstract Views: 1268
Downloads: 239
Download Rank: 19125
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Institutional Trading and the Turn-of-the-Year Effect
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LILIAN K. NG
University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business
QINGHAI WANG
Georgia Institute of Technology
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Abstract:
This study provides evidence that links institutional trading
behavior directly to anomalous turn-of-the-year (TOY) return
patterns of small stocks. We find that TOY trading patterns of
institutions reflect strategies that are 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, both winners and losers, in the first quarter. Institutional buying (selling) of loser stocks at year-end weakens (strengthens) the TOY effect. In addition, buying of winner stocks after year-end causes a statistically-significant, though weaker, effect.
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Keywords: Institutions, Window-Dressing, Risk-Shifting, Turn-of-the-Year Effect
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JEL Classifications: G12, G14, G20
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Working Paper Series
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Suggested Citation
Ng, Lilian K. and Wang, Qinghai, "Institutional Trading and the Turn-of-the-Year Effect"
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Available at SSRN: http://ssrn.com/abstract=412183
or DOI: 10.2139/ssrn.412183
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Contact Information for
LILIAN
K.
NG
(Contact Author)
Email address for LILIAN
K.
NG
University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business
P.O. Box 742
3202 N. Maryland Ave.
Milwaukee
, WI
53201-0742
United States
414-229-5925 (Phone)
414-229-6957 (Fax)
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Contact Information for
QINGHAI
WANG
Email address for QINGHAI
WANG
Georgia Institute of Technology
College of Management
800 West Peachtree Street NW
Atlanta
, GA
30308
United States
404-385-3266 (Phone)
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Jul 22, 2003 |
201K
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