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http://ssrn.com/abstract=471558
 
 

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Window Dressing by Pension Fund Managers


Josef Lakonishok


University of Illinois at Urbana-Champaign; National Bureau of Economic Research (NBER)

Andrei Shleifer


Harvard University - Department of Economics; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

Richard H. Thaler


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Robert W. Vishny


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

February 1991

NBER Working Paper No. w3617

Abstract:     
This paper takes a first look at investment strategies of managers of 769 pension funds, with total assets of $129 billion at the end of 1989. The data show that managers of these funds tend to oversell stocks that have performed poorly. Relative sales of losers accelerate in the fourth quarter, when funds' portfolios are closely examined by the sponsors. This result supports the view that fund managers "window dress" their portfolios to impress sponsors and suggests that managers are evaluated on their individual stock selections and not just aggregate portfolio performance.

Number of Pages in PDF File: 15

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Date posted: January 8, 2008  

Suggested Citation

Lakonishok, Josef and Shleifer, Andrei and Thaler, Richard H. and Vishny, Robert W., Window Dressing by Pension Fund Managers (February 1991). NBER Working Paper No. w3617. Available at SSRN: http://ssrn.com/abstract=471558

Contact Information

Josef Lakonishok (Contact Author)
University of Illinois at Urbana-Champaign ( email )
1206 South Sixth Street
Champaign, IL 61820
United States
217-333-7185 (Phone)
217-244-3102 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Andrei Shleifer
Harvard University - Department of Economics ( email )
Littauer Center
Cambridge, MA 02138
United States
617-495-5046 (Phone)
617-496-1708 (Fax)
HOME PAGE: http://www.economics.harvard.edu/~ashleife/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
HOME PAGE: http://www.ecgi.org
Richard H. Thaler
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-5208 (Phone)
773-702-0458 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Robert W. Vishny
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
312-702-2522 (Phone)
312-702-0118 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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