In this article, we contribute to financial literature on institutional herding behaviour, intertemporal imitation and informational cascades by analysing the changes in the strategic asset allocations of Spanish equity pension plans investing in Eurozone equities. This article is mainly focused on methodological improvements. Firstly, the study examines the herding phenomenon by using the traditional measure developed by Lakonishok, Shleifer and Vishny (LSV) (1992). Afterwards, some original analyses such as the consideration of a restricted definition of buying and selling and the amount of the variations in the strategic allocations are carried out to overcome certain shortcomings existing in this metric. Moreover, we analyse the intertemporal imitation and the informational cascades through time-series regressions. The results show that Spanish pension managers are involved in herd behaviour, a phenomenon that is reinforced when important movements of the strategic allocations are required. Intertemporal analyses confirm the convergent behaviour of a significant number of pension plans; while the study of informational cascades allows us to discriminate between those plans that present anticipatory abilities and those that follow the strategic movements of the rest of the managers.

In this article, we analyse the potential quarterly anomalies of Spanish stock returns. We extend previous studies by analysing the daily Cumulative Abnormal Return (CAR) in the first trading days of a quarter to better understand the behaviour of stocks. Our results show no clear stock return anomalies during the first three quarters of the year that is consistent with the existing literature. Nevertheless, the results provide evidence of a significant anomaly for the last quarter, especially for loser small-cap stocks. This turn-of-the-year effect is stronger in bear market years than in bull market years. The daily return analysis for January shows that the main CAR is reached in the first trading days of the year and that the current personal income tax law in Spain has prolonged the duration of the January effect.

This is the first study in a large European market which analyzes monthly portfolios to obtain evidence of equity fund trading around quarterly reports. A new portfolio-weight approach shows that managers disclose large-cap and well-known stocks with higher returns and hide the same return-loser stocks in the reporting months. A fund-size agency problem plays an important role in this window dressing evidence. Fund trading also shows that managers benefits from the January effect by buying small-cap stocks at the beginning of the year rather than causing this anomaly.