Abstract
We document systematic patterns in daily aggregate market returns around end-of-quarters consistent with strategic fund manager behavior and the growing presence of mutual funds in the market.
Original language | English (US) |
---|---|
Pages (from-to) | 306-311 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 89 |
Issue number | 3 |
DOIs | |
State | Published - Dec 2005 |
Keywords
- Investment distortion
- Mutual fund performance
- Painting the tape
- Turn-of-quarter effect
ASJC Scopus subject areas
- Finance
- Economics and Econometrics