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Title page for etd-0703106-190007


URN etd-0703106-190007 Statistics This thesis had been viewed 1500 times. Download 11 times.
Author I-Hsin Cheng
Author's Email Address No Public.
Department Management Business Administration
Year 2005 Semester 2
Degree Master Type of Document Master's Thesis
Language English Page Count 132
Title THE RELATIONSHIP BETWEEN INSITITUTIONAL INVESTORS TRADING BEHAVIOR AND THE TURN-OF-THE-YEAR EFFECT
Keyword
  • Window-dressing
  • Insititutional Investors
  • Risk-shifting
  • Turn-of-the-year Effect
  • Turn-of-the-year Effect
  • Risk-shifting
  • Insititutional Investors
  • Window-dressing
  • Abstract The turn-of-the-year effect or the January effect means stocks, especially small stock, exhibit abnormally large returns during the first few days of January. In the past studies, there were many explanations about what had causes the turn-of-the-year effect. We found that window-dressing is generally consistent with the turn-of-the-year effect, and in recent studies such as Brown et al. (1996), Chevalier and Ellison (1997) and Ng and Wang (2003) show risk-shifting strategies by institutional investors can be a good plausible explanation for the turn-of-the-year effect. Institutional investors plays a significant role in Taiwanese stock market, understanding what their trading behavior can be helpful for investors and scholar, therefore, in this study we investigate whether the relationship between institutional investors trading behavior and the turn-of-the-year effect. The results are the turn-of-the year effect of institutional investors is generally consistent with window-dressing and risk-shifting. Institutional investors sell more loser small stocks in the last quarter of the year, but buy more winners small stocks in the first quarter of the year. Selling loser small stock at the end of the year strengthens the turn-of-the year effect, and buying of winner small stocks after the year causes a statistically significant turn-of-the-year effect.
    Advisor Committee
  • Ruey-Shii Chen - advisor
  • Ming-Chuan Pan - co-chair
  • Tai-Wei Chang - co-chair
  • Files indicate in-campus access only
    Date of Defense 2006-06-16 Date of Submission 2006-07-03


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