Indirect tests of the Haugen-Lakonishok small-firm/January effect hypotheses: Window dressing versus performance hedging

Cheng few Lee, David C. Porter, Daniel G. Weaver

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

Equity mutual fund data from 1976-1993 is used to test hypotheses that distinguish window dressing from performance hedging. No significant difference is found pre/post 1983 in the number of funds choosing non-December fiscal year ends or in the percentage of dollars invested when comparing December/non-December fiscal year ends. Significant differences are found in both January returns for mutual funds with December/non-December fiscal year ends and in one month returns for funds with/without a fiscal year end in the previous month. Therefore, if the small-firm/January effect is portfolio manager related, performance hedging, not window dressing, is the more probable source for the “excess” returns.

Original languageEnglish (US)
Pages (from-to)177-194
Number of pages18
JournalFinancial Review
Volume33
Issue number2
DOIs
StatePublished - May 1998
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Keywords

  • Market efficiency
  • Small-firm effect
  • Window dressing

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