The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades

Hu, Gang; McLean, R. David; Pontiff, Jeffrey; Wang, Qinghai

doi:10.1093/rfs/hht057

Cited by 84 publications

(41 citation statements)

References 32 publications

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“…There is ample evidence that there are turn-of-the-year effects in turnover and trading patterns of financial assets; see, e.g., Ritter and Chopra (1989), He, Ng, and Wang (2004), Hu, McLean, Pontiff, and Wang (2013) for evidence on turn-of-the-year trading patterns of institutional investors; Dyl (1977), Poterba and Weisbenner (2001), and Ivoković, Poterba, and Weisbenner (2005) for evidence on tax-motivated trading of (retail) investors at the turn of the year; and Gallant, Rossi, and Tauchen (1992) for evidence of generally higher trading volume around the turn of the year. Flows to and from mutual funds are also characterized by strong turn-of-the-year patterns.…”

Section: Discussion Of Turn-of-the-year Effects In Portfolios Flowsmentioning

confidence: 99%

End-of-the-year economic growth and time-varying expected returns

Møller

Rangvid

2015

Journal of Financial Economics

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(EFA discussant), and participants at many seminars and conferences for comments and suggestions. The paper includes some results from an early paper entitled "The fourth-quarter consumption growth rate: A pure-macro, not-estimated stock return predictor that works in-sample and out-of-sample". Møller acknowledges support from CREATES-Center for Research in Econometric Analysis of Time Series (DNRF78), funded by the Danish National Research Foundation.

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Section: Discussion Of Turn-of-the-year Effects In Portfolios Flowsmentioning

confidence: 99%

End-of-the-year economic growth and time-varying expected returns

Møller

Rangvid

2015

Journal of Financial Economics

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“…Consistent with this view, Hu et al . () find that institutions do indeed buy stocks in which they already have large positions near year end.…”

Section: Introductionmentioning

confidence: 94%

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Chen

Gallagher

Lee

2015

Accounting & Finance

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This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top-quartile fund managers, with longer inter-reporting intervals tending to result in greater differences. 'Copycat funds' following the disclosed holdings of top-tier managers significantly underperform the underlying fund, while copycats following bottom-tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.

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“…Thus, financial media coverage and window dressing by fund managers conspire to make funds appear attractive. Another manipulation is "portfolio pumping" where fund managers place orders to inflate prices for stocks they are holding at the year-end reporting date (Hu et al, 2014;Carhart et al, 2002).…”

Section: Hiding Bad Performancementioning

confidence: 99%

Do academic investment insights benefit society?

Lai

2016

Research in International Business and Finance

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The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades

Cited by 84 publications

References 32 publications

End-of-the-year economic growth and time-varying expected returns

End-of-the-year economic growth and time-varying expected returns

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Do academic investment insights benefit society?

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