Has Santa Claus a Good Long-Term Memory

19 Pages Posted: 7 May 2009 Last revised: 11 May 2009

Date Written: May 7, 2009

Abstract

If Santa Claus had a good long-term memory, she would remember who had consistently been good in the previous years and would reward them accordingly. She would not only rely on the current year ‘I have been a good boy letter’ but she would look for long-term good behaviour to decide on her gifts allocation.

If investors – like Santa Claus – had a good long-term memory, they would purchase assets that have been performing consistently well in the previous years. Consistent good behaviour will be defined as ‘resilience’. If resilience is rewarded it should translate into higher volumes of transactions and insure the survival of the fund. This is – in short – my variant definition of a Santa Claus effect.

This Santa Claus effect will be tested on the trading of Australian Listed Property Trusts over the 1993-1998 period.

Keywords: A-REITs, LPT, santa claus effect, resilience

Suggested Citation

Fischer, Dominique, Has Santa Claus a Good Long-Term Memory (May 7, 2009). Available at SSRN: https://ssrn.com/abstract=1400614 or http://dx.doi.org/10.2139/ssrn.1400614

Dominique Fischer (Contact Author)

University of Malaya (UM) ( email )

Kuala Lumpur, Wilayah Persekutuan 50603
University of Malaya (UM)
Kuala Lumpur, Wilayah Persekutuan 50603
Malaysia

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