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Institutional trading and the turn-of-the-year effect

  • Ng, Lilian
  • Wang, Qinghai
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4CJ4844-2/2/0631946a9db0bc0580095a18bfa5fe13
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 74 (2004)
    Issue (Month): 2 (November)
    Pages: 343-366

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    Handle: RePEc:eee:jfinec:v:74:y:2004:i:2:p:343-366
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    1. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
    2. Paul A. Gompers & Andrew Metrick, . "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers 20-99, Wharton School Rodney L. White Center for Financial Research.
    3. Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
    4. Ritter, Jay R, 1988. " The Buying and Selling Behavior of Individual Investors at the Turn of the Year," Journal of Finance, American Finance Association, vol. 43(3), pages 701-17, July.
    5. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04.
    6. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    7. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, vol. 81(2), pages 227-31, May.
    8. Donald B. Keim, . "Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008)," Rodney L. White Center for Financial Research Working Papers 22-89, Wharton School Rodney L. White Center for Financial Research.
    9. Jia He, 2004. "Quarterly Trading Patterns of Financial Institutions," The Journal of Business, University of Chicago Press, vol. 77(3), pages 493-510, July.
    10. S.G. Badrinath & Sunil Wahal, 2002. "Momentum Trading by Institutions," Journal of Finance, American Finance Association, vol. 57(6), pages 2449-2478, December.
    11. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
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