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Gamesmanship and seasonality in U.S. stock returns
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| Veröffentlicht in: | Journal of risk and financial management 14(2021), 5 vom: Mai, Artikel-ID 206, Seite 1-11 |
|---|---|
| Personen und Körperschaften: | , |
| Titel: | Gamesmanship and seasonality in U.S. stock returns/ Lucy F. Ackert and George Athanassakos |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2021
|
| Gesamtaufnahme: |
: Journal of risk and financial management, 14(2021), 5 vom: Mai, Artikel-ID 206, Seite 1-11
, volume:14 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| contents | We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting downward pressure on prices for highly visible firms at the beginning of the year, which is reversed later with buying pressure. Due to the bonus culture, fund managers start the year by buying small, risky stocks in order to beat benchmarks. Once targets are met, they adjust toward visible, less risky stocks to lock in returns, providing them with a seasonal returns pattern opposite to that of small firms. A re-examination is warranted because the world has become increasingly globalized, and some argue that managers’ incentives are aligned with investors due to increased scrutiny. We used analyst following as a proxy for visibility and examined the seasonal pattern for 1997-2018. Though the anomaly was first reported twenty years ago, it persists in recent data. Rational investors may be limited in their ability to arbitrage mispricing because institutional investors who drive the market are self-interested. Future research may examine the seasonal pattern in countries with more stringent regulation of financial professionals or with high-frequency data. |
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| spelling | Ackert, Lucy F. VerfasserIn (DE-588)170823172 (DE-627)060961449 (DE-576)131672266 aut, Gamesmanship and seasonality in U.S. stock returns Lucy F. Ackert and George Athanassakos, 2021, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting downward pressure on prices for highly visible firms at the beginning of the year, which is reversed later with buying pressure. Due to the bonus culture, fund managers start the year by buying small, risky stocks in order to beat benchmarks. Once targets are met, they adjust toward visible, less risky stocks to lock in returns, providing them with a seasonal returns pattern opposite to that of small firms. A re-examination is warranted because the world has become increasingly globalized, and some argue that managers’ incentives are aligned with investors due to increased scrutiny. We used analyst following as a proxy for visibility and examined the seasonal pattern for 1997-2018. Though the anomaly was first reported twenty years ago, it persists in recent data. Rational investors may be limited in their ability to arbitrage mispricing because institutional investors who drive the market are self-interested. Future research may examine the seasonal pattern in countries with more stringent regulation of financial professionals or with high-frequency data., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, 1.10\x 1997-2018 stw, 1.1\x Börsenkurs (DE-627)091352576 (DE-2867)13715-1 stw, 1.2\x Kapitalmarktrendite (DE-627)742092755 (DE-2867)29640-5 stw, 1.3\x Saisonale Schwankungen (DE-627)091387574 (DE-2867)19241-4 stw, 1.4\x Institutioneller Investor (DE-627)091367999 (DE-2867)12287-1 stw, 1.5\x Anlageverhalten (DE-627)091347041 (DE-2867)18674-6 stw, 1.6\x Strategie (DE-627)091393051 (DE-2867)19163-5 stw, 1.7\x Schätzung (DE-627)091387892 (DE-2867)19037-3 stw, 1.8\x Aktienmarkt (DE-627)091346312 (DE-2867)13713-5 stw, 1.9\x USA (DE-627)091396867 (DE-2867)17829-1 stw, agency considerations, financial analysts, gamesmanship, institutional investors, window dressing, Aufsatz in Zeitschrift DE-206, Athanassakos, George VerfasserIn (DE-588)171470826 (DE-627)061675091 (DE-576)352370602 aut, Enthalten in Journal of risk and financial management Basel : MDPI, 2008 14(2021), 5 vom: Mai, Artikel-ID 206, Seite 1-11 Online-Ressource (DE-627)770970427 (DE-600)2739117-6 (DE-576)395129494 1911-8074 nnns, volume:14 year:2021 number:5 month:05 elocationid:206 pages:1-11, https://www.mdpi.com/1911-8074/14/5/206/pdf Verlag kostenfrei, https://doi.org/10.3390/jrfm14050206 Resolving-System kostenfrei, http://hdl.handle.net/10419/239622 Resolving-System kostenfrei, https://doi.org/10.3390/jrfm14050206 LFER, https://www.mdpi.com/1911-8074/14/5/206/pdf LFER, LFER 2021-07-06T06:27:25Z |
| spellingShingle | Ackert, Lucy F., Athanassakos, George, Gamesmanship and seasonality in U.S. stock returns, We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting downward pressure on prices for highly visible firms at the beginning of the year, which is reversed later with buying pressure. Due to the bonus culture, fund managers start the year by buying small, risky stocks in order to beat benchmarks. Once targets are met, they adjust toward visible, less risky stocks to lock in returns, providing them with a seasonal returns pattern opposite to that of small firms. A re-examination is warranted because the world has become increasingly globalized, and some argue that managers’ incentives are aligned with investors due to increased scrutiny. We used analyst following as a proxy for visibility and examined the seasonal pattern for 1997-2018. Though the anomaly was first reported twenty years ago, it persists in recent data. Rational investors may be limited in their ability to arbitrage mispricing because institutional investors who drive the market are self-interested. Future research may examine the seasonal pattern in countries with more stringent regulation of financial professionals or with high-frequency data., 1997-2018, Börsenkurs, Kapitalmarktrendite, Saisonale Schwankungen, Institutioneller Investor, Anlageverhalten, Strategie, Schätzung, Aktienmarkt, USA, agency considerations, financial analysts, gamesmanship, institutional investors, window dressing, Aufsatz in Zeitschrift |
| title | Gamesmanship and seasonality in U.S. stock returns |
| title_auth | Gamesmanship and seasonality in U.S. stock returns |
| title_full | Gamesmanship and seasonality in U.S. stock returns Lucy F. Ackert and George Athanassakos |
| title_fullStr | Gamesmanship and seasonality in U.S. stock returns Lucy F. Ackert and George Athanassakos |
| title_full_unstemmed | Gamesmanship and seasonality in U.S. stock returns Lucy F. Ackert and George Athanassakos |
| title_in_hierarchy | Gamesmanship and seasonality in U.S. stock returns / Lucy F. Ackert and George Athanassakos, |
| title_short | Gamesmanship and seasonality in U.S. stock returns |
| title_sort | gamesmanship and seasonality in u s stock returns |
| topic | 1997-2018, Börsenkurs, Kapitalmarktrendite, Saisonale Schwankungen, Institutioneller Investor, Anlageverhalten, Strategie, Schätzung, Aktienmarkt, USA, agency considerations, financial analysts, gamesmanship, institutional investors, window dressing, Aufsatz in Zeitschrift |
| topic_facet | Börsenkurs, Kapitalmarktrendite, Saisonale Schwankungen, Institutioneller Investor, Anlageverhalten, Strategie, Schätzung, Aktienmarkt, USA, agency considerations, financial analysts, gamesmanship, institutional investors, window dressing, Aufsatz in Zeitschrift |
| url | https://www.mdpi.com/1911-8074/14/5/206/pdf, https://doi.org/10.3390/jrfm14050206, http://hdl.handle.net/10419/239622 |