کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088866 | 1478326 | 2014 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Institutions and the turn-of-the-year effect: Evidence from actual institutional trades
ترجمه فارسی عنوان
موسسات و اثر نوبت سال: شواهد از معاملات واقعی نهادی
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Using a large proprietary database of institutional trades, we investigate whether institutional investors drive the turn-of-the-year (TOY) effect. Institutions that engage in window dressing, tax-loss selling, or risk shifting will contribute to the TOY effect by selling small, poorly performing stocks at the end of December and/or buying those same stocks at the beginning of January. We find abnormal pension fund selling in small stocks with poor past performance during the final trading days in December, providing some support for the window dressing hypothesis. However, we find little evidence that institutional tax-loss selling or risk-shifting trading strategies contribute to TOY returns. Furthermore, stocks with no institutional trading around the year-end exhibit considerably stronger TOY return patterns than stocks in which institutions trade. Taken together, our results suggest that institutions play a limited role in driving the TOY effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 49, December 2014, Pages 56-68
Journal: Journal of Banking & Finance - Volume 49, December 2014, Pages 56-68
نویسندگان
Andrew Lynch, Andy Puckett, Xuemin (Sterling) Yan,