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Paper Stats:
Abstract Views: 1036
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Professional Investor Re-entry and the January Effect
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CHARLES J. CUNY
Affiliation Unknown
MARK FEDENIA
University of Wisconsin - Madison - School of Business
ROBERT A. HAUGEN
University of California, Irvine - Paul Merage School of Business
ADVANCES IN FINANCIAL ECONOMICS, Vol. 2
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Abstract:
A re-entry theory for abnormal behavior of financial markets in January is derived and tested. The model predicts that, by optimally shifting portfolios to mimic a benchmark, successful investment managers lock in superior performance, while unsuccessful investment managers lock out possible termination. Price pressure, ensuing from re-entry, occurs at the turn of the year, when managers uniformly prefer to reverse benchmark matching strategies. Analysis of professionally managed portfolios over the period 1969-1989 provides mixed support for the theory. At year-end, extreme performers exhibit some movement toward the S&P 500 index. This pattern reverses shortly after the turn of the year.
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JEL Classifications: G10
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Accepted Paper Series
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Contact Information for
MARK
FEDENIA
(Contact Author)
Email address for MARK
FEDENIA
University of Wisconsin - Madison - School of Business
975 University Avenue
Madison
, WI
53706
United States
608-263-4502 (Phone)
608-265-3495 (Fax)
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Contact Information for
CHARLES
J.
CUNY
(No e-mail address available for CHARLES
J.
CUNY
Affiliation Unknown
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Contact Information for
ROBERT
A.
HAUGEN
Email address for ROBERT
A.
HAUGEN
University of California, Irvine - Paul Merage School of Business
427 GSM
Irvine
, CA
92717-3125
United States
949-824-8365 (Phone)
949-824-8469 (Fax)
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