Painting the Tape: Aggregate Evidence
University of Illinois at Urbana-Champaign - Department of Economics
Ryan J. Davies
Babson College - Finance Division
Economics Letters, Vol. 89, pp. 306-311, 2005
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.
Keywords: turn-of-quarter effect, painting the tape, mutual fund performance, investment distortion
JEL Classification: D82, G2, G14
Date posted: September 8, 2005
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