TY - JOUR
T1 - Seasonality in fund performance: An examination of the portfolio holdings and trades of investment managers
AU - Gallagher, David R.
AU - Pinnuck, Matt
PY - 2006/9
Y1 - 2006/9
N2 - This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds.
AB - This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds.
UR - http://www.scopus.com/inward/record.url?scp=33749003996&partnerID=8YFLogxK
U2 - 10.1111/j.1468-5957.2006.00018.x
DO - 10.1111/j.1468-5957.2006.00018.x
M3 - Article
AN - SCOPUS:33749003996
SN - 0306-686X
VL - 33
SP - 1240
EP - 1266
JO - Journal of Business Finance and Accounting
JF - Journal of Business Finance and Accounting
IS - 7-8
ER -