Noted: Market observers have long suggested that window dressing leads to more stock volatility around the ends of quarters, and a recent study by the Wisconsin School of Business seems to confirm that is a real phenomenon.
“The stocks that rank high on intermediate-term momentum and that are purchased at the end of a quarter experience large positive returns at that time, followed by large negative returns in the next month,” says the report, written by David P. Brown, a professor in the school’s department of finance, investment and banking.