Abstract
AbstractEquity mutual fund data from 1976–1993 is used to test hypotheses that distinguish window dressing from performance hedging. No significant difference is found pre/post 1983 in the number of funds choosing non‐December fiscal year ends or in the percentage of dollars invested when comparing December/non‐December fiscal year ends. Significant differences are found in both January returns for mutual funds with December/non‐December fiscal year ends and in one month returns for funds with/without a fiscal year end in the previous month. Therefore, if the small‐firm/January effect is portfolio manager related, performance hedging, not window dressing, is the more probable source for the “excess” returns.
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