More informative disclosures, less informative prices? Portfolio and price formation around quarter-ends

• 成果类型: Article
• 署名作者: Gormley, Todd A.; Kaplan, Zachary; Verma, Aadhaar
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.10.004
• 发表日期: 2022
• 页码: 665-688
• 关键词: Fund disclosures; Portfolio formation; market efficiency; Quarter-ends

摘要

Fund trades and stock prices vary systematically with the quarterly reporting cycle. Funds accelerate trades that complete the building of existing positions at quarter-end but de-lay trades that initiate the building of new positions until the start of the new quarter. Evidence suggests these trade dynamics are driven by a dual desire to make disclosures more informative about future holdings but avoid disclosing incomplete positions. Con-sistent with disclosure-based motives unrelated to new information about intrinsic values driving these quarterly trade dynamics, both stock price informativeness and commissions paid by funds drop at quarter-end.(c) 2021 Elsevier B.V. All rights reserved.