THE JANUARY EFFECT AND INSTITUTIONAL INVESTMENT IN PORTUGAL

Jose Miralles Marcelo and María Mar Miralles-Quirós ()

Portuguese Journal of Management Studies, 2003, vol. VIII, issue 1, 105-114

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.

Keywords: January Effect, Mutual Fund; Window Dressing. (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:pjm:journl:v:viii:y:2003:i:1:p:105-114

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