Painting the tape: Aggregate evidence

Dan Bernhardt, Ryan J. Davies

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)306-311
Number of pages6
JournalEconomics Letters
Volume89
Issue number3
DOIs
StatePublished - Dec 2005

Keywords

  • Investment distortion
  • Mutual fund performance
  • Painting the tape
  • Turn-of-quarter effect

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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