The January effect and institutional investment in Portugal

Detalhes bibliográficos
Autor(a) principal: Miralles Marcelo, Jose Luis
Data de Publicação: 2003
Outros Autores: Miralles Quirós, María del Mar
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/9955
Resumo: Over the last twenty years, many researchers have documented that average rate of return from stocks in the month of January is higher than in any other month of the year. More recently, several researchers have offered a convincing explanation for this so called January effect. Tile window dressing hypothesis claims that high returns on risky securities in January are caused 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 behaviour of stock prices by testing the window hypothesis and examining the impact mutual funds trading has had on the aggregate stock market in Portugal over the 1996-2001 period,
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spelling The January effect and institutional investment in PortugalJanuary EffectMutual FundWindow DressingOver the last twenty years, many researchers have documented that average rate of return from stocks in the month of January is higher than in any other month of the year. More recently, several researchers have offered a convincing explanation for this so called January effect. Tile window dressing hypothesis claims that high returns on risky securities in January are caused 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 behaviour of stock prices by testing the window hypothesis and examining the impact mutual funds trading has had on the aggregate stock market in Portugal over the 1996-2001 period,Instituto Superior de Economia e GestãoRepositório da Universidade de LisboaMiralles Marcelo, Jose LuisMiralles Quirós, María del Mar2015-10-30T09:40:17Z20032003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/9955engMiralles Marcelo, Jose Luis e María del Mar Miralles Quirós (2003). "The January effect and institutional investment in Portugal". Estudos de Gestão, VIII(1):105-114info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:40:21Zoai:www.repository.utl.pt:10400.5/9955Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:56:31.329629Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The January effect and institutional investment in Portugal
title The January effect and institutional investment in Portugal
spellingShingle The January effect and institutional investment in Portugal
Miralles Marcelo, Jose Luis
January Effect
Mutual Fund
Window Dressing
title_short The January effect and institutional investment in Portugal
title_full The January effect and institutional investment in Portugal
title_fullStr The January effect and institutional investment in Portugal
title_full_unstemmed The January effect and institutional investment in Portugal
title_sort The January effect and institutional investment in Portugal
author Miralles Marcelo, Jose Luis
author_facet Miralles Marcelo, Jose Luis
Miralles Quirós, María del Mar
author_role author
author2 Miralles Quirós, María del Mar
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Miralles Marcelo, Jose Luis
Miralles Quirós, María del Mar
dc.subject.por.fl_str_mv January Effect
Mutual Fund
Window Dressing
topic January Effect
Mutual Fund
Window Dressing
description Over the last twenty years, many researchers have documented that average rate of return from stocks in the month of January is higher than in any other month of the year. More recently, several researchers have offered a convincing explanation for this so called January effect. Tile window dressing hypothesis claims that high returns on risky securities in January are caused 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 behaviour of stock prices by testing the window hypothesis and examining the impact mutual funds trading has had on the aggregate stock market in Portugal over the 1996-2001 period,
publishDate 2003
dc.date.none.fl_str_mv 2003
2003-01-01T00:00:00Z
2015-10-30T09:40:17Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/9955
url http://hdl.handle.net/10400.5/9955
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Miralles Marcelo, Jose Luis e María del Mar Miralles Quirós (2003). "The January effect and institutional investment in Portugal". Estudos de Gestão, VIII(1):105-114
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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