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, G14Accepted Paper Series
Date posted: September 8, 2005
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.250 seconds