Window dressing by institutional investors on the Johannesburg Stock Exchange: an empirical analysis

ABSTRACTThe purpose of this paper is to investigate the widely held belief that institutional portfolio managers “window dress” or adjust their share portfolios before the release of their quarterly reports. In this study, block trading on the JSE covering the period 1983–1990 is examined to determine if there is abnormal end-of-period trading activity. The empirical evidence clearly rejects the null hypothesis of no abnormal end-of-period trading activity. While the company data yield less clear results, there are indications that institutional window dressing is more likely in the securities of companies that have performed poorly during the current quarter or the recent past. Although the behaviour of institutional portfolio managers cannot be generalized to other types of corporate activity, they suggest that reporting requirements do affect managerial behaviour.