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The Year-End Trading Activities of Institutional Investors: Evidence from Daily TradesGang HuBabson College, Finance Division R. David McLeanUniversity of Alberta - Department of Finance and Statistical Analysis Jeffrey PontiffBoston College - Department of Finance Qinghai WangGeorgia Institute of Technology January 14, 2013 AFA 2010 Atlanta Meetings Paper EFA 2009 Bergen Meetings Paper Abstract: The extant literature suggests that institutional investors mislead investors by portfolio pumping, which involves year-end trades that inflate performance, and window dressing, which involves year-end trades that distort reported holdings. We find direct evidence of portfolio pumping using a large sample of daily institutional trades over a 12-year period. At year-end institutions in our sample trade less, yet they have an abnormally high proportion of buy trades, and they 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.
Number of Pages in PDF File: 40 Keywords: mutual funds, portfolio pumping, tape painting, institutional investors, price JEL Classification: G20, G23, G28, G29 working papers seriesDate posted: February 15, 2009 ; Last revised: January 23, 2013Suggested CitationContact Information
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