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http://www.bloomberg.com/gadfly/arti...indow-dressing
In 1991, a group of scholars led by Josef Lakonishok and including behavioral finance guru Richard Thaler studied the effect of so-called window dressing by pension-fund managers in quarter-end stock market rallies. Among the strategies outlined was selling losers, slowing down the sale of winning shares and buying those that were among the worst hit. Trading of losing stocks is the most intense at the end of the quarter, the academics concluded. Investors both try to get rid of long-held losing investments and to buy beaten-down shares that they believe are undervalued. There are plenty of those out there after Friday's sell-off.The aftermath, however, is undisputed: Markets tend to adjust at the start of the quarter, once the buying frenzy is over. In the past 30 years, the MSCI World index rallied in the last week of the quarter almost half the time. The reporting period that followed those rallies started with a weekly loss 59.5 percent of the time.
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