Do fund managers window-dress their quarterly reports? An Empirical study of the quarter-end effect of the stocks invested heavily by open-end funds
With the employment of the event study approach and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model,we analyzed the stocks listed in Shanghai Stock Exchange which were also invested heavily by all open-end equity funds in shanghai and Shenzhen market. It shows that the abnormal returns (AR) generated by these stocks during the last trading week in every quarter are statistically positive and the average AR of the last three days is obviously much higher than that of the first two days in the same week. We interpret this as the evidence of the quarter-end effect in Chinese stock market and indirectly demonstrate the windowdressing behavior of the fund managers.
Abnormal returns event study GARCH model quarter-end effect,window-dressing
Kai.Tian Qi.Wang Jian.Xi.Wang
Department of Finance,Nankai University,Tianjin,China
国际会议
北京
英文
570-575
2009-10-21（万方平台首次上网日期，不代表论文的发表时间）