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

Todd A. Gormley, Zachary Kaplan and Aadhaar Verma

Journal of Financial Economics, 2022, vol. 146, issue 2, 665-688

Abstract: 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 delay 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. Consistent 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.

Keywords: Fund disclosures; Portfolio formation; Market efficiency; Quarter-ends (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G23 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:146:y:2022:i:2:p:665-688

DOI: 10.1016/j.jfineco.2021.10.004

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