Jason Goepfert of sentimentrader.com noted the following statistics regarding Window Dressing, i.e., mark ups for the quarter-end (as reported by Rev Shark).
Markups tend to take place in the stocks that have been the best performers during the quarter (all data refer to Q3):
Number of of S&P stocks up more than 20% during the quarter: 35
Number that showed a gain in last three days of quarter: 28
Percentage of stocks that showed a "markup": 80%
Number of S&P stocks down more than 15% in the quarter: 30
Number that showed gains in last three days of quarter: 14
Percentage of stocks that showed a "markup": 47%
So, there is some statistical evidence that strong stocks saw quarter-end markups Q3, while the weaker ones did not.
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Source:
Where the Markups Are
Rev Shark
RealMon ey.com, 10/5/05 3:21 PM EDT
http://www.thestreet.com/p/dps/td/tradingdiary1.html#entryId10245885
Today’s the last trading day of the year, and it doesn’t seem as if many stocks are window-dressing at the moment. I take it that either (1) stocks didn’t do too well in Q4 2005 as in previous years, or (2) investors don’t even bother because 2006 heralds the coming of Mr. Ritholtz’s apocalyptic DJIA 6800.
I think both points have merits. You can put lipstick on a pig, but it’s still a pig. 2006 looks like a crashy, trashy year. As BR’s favorite artist Mariah Carey sang, it’s time for “bringing on the heartache” for the perma-bulls.
Without knowing of Jason’s study, I noticed the tax selling and window dressing. Just for kicks, I purchased 1,500 shares of GM at 18.36 expecting the tax selling to subside, so far so good (bankruptcy forecasts have hyped the trade). I don’t usually day trade but Friday morning while the market was down strong, I bought a few thousand shares of “winners” and sold them 10 minutes before the close to take advantage of the window dressing. I’m an intermediate to long term investor but when the hype is extreme it is hard to resist the easy pickings.