Abstract

http://ssrn.com/abstract=1343391
 
 

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


Gang Hu


Babson College, Finance Division

R. David McLean


University of Alberta - Department of Finance and Statistical Analysis

Jeffrey Pontiff


Boston College - Department of Finance

Qinghai Wang


Georgia Institute of Technology

July 19, 2013

Review of Financial Studies, Forthcoming
AFA 2010 Atlanta Meetings Paper
EFA 2009 Bergen Meetings Paper
University of Alberta School of Business Research Paper No. 2014-11

Abstract:     
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.

Number of Pages in PDF File: 39

Keywords: mutual funds, portfolio pumping, window dressing, tape painting, institutional investors

JEL Classification: G20, G23, G28, G29

Accepted Paper Series


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Date posted: February 15, 2009 ; Last revised: December 8, 2013

Suggested Citation

Hu, Gang and McLean, R. David and Pontiff, Jeffrey and Wang, Qinghai, The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades (July 19, 2013). AFA 2010 Atlanta Meetings Paper; Review of Financial Studies, Forthcoming; AFA 2010 Atlanta Meetings Paper; EFA 2009 Bergen Meetings Paper; University of Alberta School of Business Research Paper No. 2014-11. Available at SSRN: http://ssrn.com/abstract=1343391 or http://dx.doi.org/10.2139/ssrn.1343391

Contact Information

Gang Hu
Babson College, Finance Division ( email )
223 Tomasso Hall
Wellesley, MA 02457
United States
781-239-4946 (Phone)
HOME PAGE: http://faculty.babson.edu/ghu/
R. David McLean (Contact Author)
University of Alberta - Department of Finance and Statistical Analysis ( email )
School of Business
Edmonton, Alberta T6G 2R6
Canada
780-492-8005 (Phone)
780-492-3325 (Fax)
HOME PAGE: http://business.ualberta.ca/rdmclean
Jeffrey E. Pontiff
Boston College - Department of Finance ( email )
Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States
Qinghai Wang
Georgia Institute of Technology ( email )
800 West Peachtree St., NW
Atlanta, GA 30308-1149
United States
404-3853266 (Phone)
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