Indirect Tests of the Haugen-Lakonishok Small-Firm/January Effect Hypotheses: Window Dressing Versus Performance Hedging

Posted: 16 Jun 1998

See all articles by Cheng-Few Lee

Cheng-Few Lee

Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics

David C. Porter

University of Wisconsin

Daniel G. Weaver

Rutgers Business School

Abstract

Equity mutual fund data from 1976-1993 is used to test hypotheses that distinguish window dressing from performance hedging. No significant difference is found pre/post 1983 in the number of funds choosing non-December fiscal year ends or in the percentage of dollars invested when comparing December/non-December fiscal year ends. Significant differences are found in both January returns for mutual funds with December/non-December fiscal years ends and in one month returns for funds with/without a fiscal year end in the previous month. Therefore, if the small-firm/January effect is portfolio manager related, performance hedging, not window dressing, is the more probable source for the "excess" returns.

JEL Classification: G14

Suggested Citation

Lee, Cheng-Few and Porter, David C. and Weaver, Daniel G., Indirect Tests of the Haugen-Lakonishok Small-Firm/January Effect Hypotheses: Window Dressing Versus Performance Hedging. Financial Review, Vol. 2, May 1998. Available at SSRN: https://ssrn.com/abstract=95549

Cheng-Few Lee

Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics ( email )

111 Washington Avenue
Newark, NJ 07102
United States
732-445-3907 (Phone)
732-445-5927 (Fax)

David C. Porter (Contact Author)

University of Wisconsin ( email )

800 W. Main
College of Business and Economics
Whitewater, WI 53190
United States
414-472-1880 (Phone)
414-472-4863 (Fax)

Daniel G. Weaver

Rutgers Business School ( email )

94 Rockafeller Road
Piscataway, NJ 08854
United States
848.445.5644 (Phone)
732.445.2333 (Fax)

HOME PAGE: http://weaver.rutgers.edu

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