Journal of Financial Economics Vol. 74 No. 2 2004
Institutional trading and the turn-of-the-year effect
Abstract
This study provides evidence that links institutional trading behavior directly to anomalous turn-of-the-year return patterns of small stocks. We find that turn-of-the-year trading patterns of institutions reflect strategies generally consistent with window-dressing and risk-shifting behaviors. Institutions sell more loser small stocks in the last quarter of the year, but buy more small stocks, winners and losers, in the first quarter. Institutional buying (selling) of loser stocks at year-end weakens (strengthens) the turn-of-the-year effect. Buying of winner stocks after year-end causes a statistically significant, though weaker, effect.
- DOI
- 10.1016/j.jfineco.2003.05.009
- Volume
- 74
- Issue
- 2
- Pages
- 343-366
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref