search query: @author Ng, L. / total: 5
reference: 2 / 5
| Author: | Ng, L. Wang, Q. |
| Title: | Institutional trading and the turn-of-the-year effect |
| Journal: | Journal of Financial Economics
2004 : NOV, VOL. 74:2, p. 343-366 |
| Index terms: | Institutional investors Financial market trading |
| Language: | eng |
| Abstract: | This article provides evidence that links institutional investment behavior to anomalous turn-of-the-year return patterns of small stocks. The writers report findings that trading patterns of institutions reflect strategies in compliance with window-dressing and risk-shifting behaviors. Institutions sell more badly performing small stocks in the last quarter, but buy more small stocks, whether they were winners or losers, in the first quarter. Institutional buying/selling of loser stocks at year-end weakens/strengthens the turn-of-the-year effect. |
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