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- W1970520517 abstract "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 window-dressing behavior of the fund managers." @default.
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- W1970520517 date "2009-10-01" @default.
- W1970520517 modified "2023-09-26" @default.
- W1970520517 title "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" @default.
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- W1970520517 doi "https://doi.org/10.1109/icieem.2009.5344525" @default.
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