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The January Effect And Institutional Investment In Portugal

Author

Listed:
  • José Luis Miralles Marcelo

    (University of Extremadura. Departamento de Economia Financiera)

  • María del Mar Miralles Quirós

    (University of Extremadura. Departamento de Economia Financeira)

Abstract

Over the last twenty years, many researchers have documented that the average rate of return from stocks in the month of January is higher than in any other month of the year. More recently, several I researchers have offered a convincing explanation for this 50 called January effect. The window dressing hypothesis claims that high returns on risky securities in January are caused by systematic shifts in portfolio holdings of institutional investors at the turn of the year. The purpose of this paper is to provide some insights into this seasonal behavior of stock prices by testing the window dressing hypothesis and examining the impact mutual funds trading has had on the aggregate stock market in Portugal over the 1996-2001 period.

Suggested Citation

  • José Luis Miralles Marcelo & María del Mar Miralles Quirós, 2003. "The January Effect And Institutional Investment In Portugal," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 105-114.
    • Handle: RePEc:pjm:journl:v:viii:y:2003:i:1:p:105-114
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