scholarly journals The 52-Week High And The January Effect

2010 ◽  
Vol 8 (3) ◽  
Author(s):  
Seung-Chan Park ◽  
Sviatoslav A. Moskalev
Keyword(s):  
Reference Price ◽  
Predictive Power ◽  
Dominant Role ◽  
Primary Factor ◽  
January Effect ◽  
Font Size ◽  
Fund Managers ◽  
Window Dressing ◽  
Tax Loss

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">The predictive power of past returns for January reversal is compared with that of the nearness of current prices to the 52-week high.<span style="mso-spacerun: yes;">&nbsp; </span>When compared jointly, past returns lose their forecasting power for January returns and the nearness of current prices to the 52-week high assumes the dominant role in explaining the January reversal.<span style="mso-spacerun: yes;">&nbsp; </span>This suggests that tax-loss selling is not the primary factor explaining the January effect.<span style="mso-spacerun: yes;">&nbsp; </span>A behavioral explanation consistent with the window-dressing argument is proposed in that the 52-week high acts as an &ldquo;anchor,&rdquo; a highly visible reference price to fund holders, increasing fund managers&rsquo; incentives to window-dress by temporarily adding (removing) stocks that are perceived by fund holders as good (bad) investments, based on the nearness of these stocks&rsquo; current prices to the 52-week high.</span></span></p>

scholarly journals Prediction and Analysis of the Severity and Number of Suburban Accidents Using Logit Model, Factor Analysis and Machine Learning: A case study in a developing country

2021 ◽  
Vol 3 (1) ◽  
Author(s):  
Meisam Ghasedi ◽  
Maryam Sarfjoo ◽  
Iraj Bargegol
Keyword(s):  
Machine Learning ◽  
Factor Analysis ◽  
Logit Model ◽  
Predictive Power ◽  
Dominant Role ◽  
Learning Approaches ◽  
Lighting Condition ◽  
Rainy Weather ◽  
Pedestrian Accidents ◽  
Effective Principal

AbstractThe purpose of this study is to investigate and determine the factors affecting vehicle and pedestrian accidents taking place in the busiest suburban highway of Guilan Province located in the north of Iran and provide the most accurate prediction model. Therefore, the effective principal variables and the probability of occurrence of each category of crashes are analyzed and computed utilizing the factor analysis, logit, and Machine Learning approaches simultaneously. This method not only could contribute to achieving the most comprehensive and efficient model to specify the major contributing factor, but also it can provide officials with suggestions to take effective measures with higher precision to lessen accident impacts and improve road safety. Both the factor analysis and logit model show the significant roles of exceeding lawful speed, rainy weather and driver age (30–50) variables in the severity of vehicle accidents. On the other hand, the rainy weather and lighting condition variables as the most contributing factors in pedestrian accidents severity, underline the dominant role of environmental factors in the severity of all vehicle-pedestrian accidents. Moreover, considering both utilized methods, the machine-learning model has higher predictive power in all cases, especially in pedestrian accidents, with 41.6% increase in the predictive power of fatal accidents and 12.4% in whole accidents. Thus, the Artificial Neural Network model is chosen as the superior approach in predicting the number and severity of crashes. Besides, the good performance and validation of the machine learning is proved through performance and sensitivity analysis.

The Impact of Income Tax Withholding Position and Stock Position on the Sale of Stock

2005 ◽  
Vol 27 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Diana Falsetta ◽  
Richard A. White
Keyword(s):  
Decision Process ◽  
Income Tax ◽  
Primary Factor ◽  
Disposition Effect ◽  
Tax Loss ◽  
The Impact ◽  
Baseline Experiment

The objective of this study is to investigate the effect that stock position (gain or loss) and income tax withholding position (tax payment or tax refund) have on the sale of stock at the end of the year. Prior investigations of stock position have shown that individuals are more likely to sell gain stocks and hold loss stocks (e.g., the disposition effect). However, studies also have found this pattern of behavior to reverse at year-end in an effort to reduce tax liabilities. We conduct two experiments (baseline and primary) to compare the sell or hold decision of participants with either a gain or loss stock. Results of the baseline experiment confirm the disposition effect. However, when participants become more sensitive to tax considerations, the results of the primary experiment support the tax-loss selling hypothesis. That is, participants tend to sell loss stocks and hold gain stocks. These results, while consistent with the tax-loss selling hypothesis, are contrary to the disposition effect, indicating that these effects are strongest when tax considerations are not a primary factor in the decision process. Furthermore, contrary to expectations, participants are not influenced by income tax withholding position. Their propensity to sell loss stocks relative to gain stocks at year-end is the same whether they are faced with a tax payment or a tax refund.

scholarly journals Window Dressing by Pension Fund Managers

10.3386/w3617 ◽  
1991 ◽  
Author(s):  
Josef Lakonishok ◽  
Andrei Shleifer ◽  
Richard Thaler ◽  
Robert Vishny
Keyword(s):  
Pension Fund ◽  
Fund Managers ◽  
Window Dressing

scholarly journals The January barometer in emerging markets: new evidence from the Gulf Cooperation Council stock exchanges

2019 ◽  
Vol 16 (4) ◽  
pp. 61-71
Author(s):  
Costas Siriopoulos ◽  
Layal Youssef
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Predictive Power ◽  
Gulf Cooperation Council ◽  
Least Square ◽  
January Effect ◽  
Stock Exchanges ◽  
Market Anomalies ◽  
Gulf Countries ◽  
International Investors

International investors’ interest in the capital markets in the region of Gulf countries has dramatically increased in last two decades. Thus, it would be motivating to investigate their characteristics, where the January anomaly is a major one. This paper studies the veracity of the January effect rule in the Gulf Cooperation Council (GCC) stock markets and examines the predictive power of January returns. Seven GCC stock markets are tested – the market indices in Bahrain, Abu Dhabi, Dubai, Kuwait, Oman, Qatar, and Saudi Arabia – from January 1, 2001 until December 31, 2018, a timeframe which has rarely been analyzed. Ordinary least square (OLS)-based dummy variable regression equation was used as the conventional econometric procedure in the works of financial calendar anomalies in stock markets. Some evidence is reported for the markets of Dubai and Kuwait. The paper also provides an additional explanation for the performance of stock market of Kuwait. The findings are opposite to the well documented evidence that emerging markets are less efficient and hence it is likely that several market anomalies are further pronounced. The results suggest that the predictive power of the January anomaly can be considered as a temporary anomaly in the GCC markets, since it is concentrated in only a couple of GCC markets and does not persist in time.

scholarly journals Qualitative Analysis In Financial Studies: Employing Ethnographic Content Analysis

2011 ◽  
Vol 7 (5) ◽  
Author(s):  
Henry I. Silverman
Keyword(s):  
Content Analysis ◽  
Quantitative Analysis ◽  
Empirical Studies ◽  
Qualitative Approach ◽  
Font Size ◽  
Fund Managers ◽  
Relevant Variables ◽  
Investigative Techniques ◽  
Insight Into ◽  
Ethnographic Content Analysis

<p class="Paragraph1" style="text-align: justify; line-height: normal; margin: 0in 0.5in 0pt;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;"><span lang="EN-GB">To the extent that relevant variables are well-defined or readily observable, empirical studies in finance typically employ classical investigative techniques and positivistic methodologies to measure and analyze financial phenomena.<span style="mso-spacerun: yes;">&nbsp; </span>Many unanswered questions in modern finance however, rely critically on insight into the behavior or intentions of various agents, for which there may be no easily discernible proxy that lends itself to traditional quantitative analysis. Alternatively then, Patton (1990) notes that qualitative methods may be employed to discover &ldquo;what people do, know, think, and feel&rdquo;.<span style="mso-spacerun: yes;">&nbsp; </span></span><span style="mso-ansi-language: EN-US; mso-fareast-language: AR-SA;">A particularly promising qualitative approach,<span style="mso-spacerun: yes;">&nbsp; </span>recently introduced into financial studies </span><span style="mso-fareast-language: AR-SA;" lang="EN-GB">to discover the encoded investment objectives and activities of fund managers, </span><span style="mso-ansi-language: EN-US; mso-fareast-language: AR-SA;">is Ethnographic Content Analysis (ECA).<span style="mso-spacerun: yes;">&nbsp; </span></span><span style="mso-fareast-language: AR-SA;" lang="EN-GB">In this paper, we review the literature on </span><span style="mso-ansi-language: EN-US; mso-fareast-language: AR-SA;">ECA </span><span style="mso-fareast-language: AR-SA;" lang="EN-GB">and offer an instructional set on the use of ECA in </span><span style="mso-ansi-language: EN-US; mso-fareast-language: AR-SA;">an analysis of official disclosure documents</span><span style="mso-fareast-language: AR-SA;" lang="EN-GB">.</span></span></span></p>

scholarly journals Window dressing in Brazilian investment funds

2020 ◽  
Vol 31 (82) ◽  
pp. 116-128
Author(s):  
Matheus Ruiz Marques ◽  
Joelson O. Sampaio ◽  
Vinicius Augusto Brunassi Silva
Keyword(s):  
Gap Analysis ◽  
Tracking Error ◽  
Market Model ◽  
Investment Fund ◽  
Investment Funds ◽  
Fund Managers ◽  
Window Dressing ◽  
Equity Funds ◽  
Model Residuals ◽  
Fund Portfolio

ABSTRACT This paper investigates the presence of window dressing in the Brazilian investment fund market, focusing on equity funds. Window dressing is a practice that presents a particular portfolio composition to the market, which is different from that held by the fund in the reporting period. Just before the end of the period, fund managers change their positions with the aim of presenting safer, more profitable securities portfolios. We believe that there is a lack of empirical evidence on this topic in Brazil. Previous research focuses on diversification, style analysis, fund portfolio turnover, manager profile, and performance. Therefore, we believe that our paper is pioneering in presenting results on window dressing in Brazil. With the presence of window dressing, the market may signal distorted results to investors and guide their allocations towards funds in which they would not invest in the absence of such practices. Moreover, the adoption of window dressing may increase transaction costs and thus destroy value. Our results present a connection with previous studies by Bremer and Kato (1996), O’Neal (2001), Ng and Wang (2004), Ortiz, Sarto, and Vicente (2012), and Agarwal, Gay, and Ling (2014). This paper provides evidence of window dressing in Brazilian equity funds and proposes an empirical study to verify the presence of the practice between 2010 and 2016, using market model residuals, rank gap, and backward holding return gap analysis techniques. In short, our results are consistent with window dressing practices in funds managed by small companies that were losers against the Bovespa Index and presented a high tracking error in the period.

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