More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends
62 Pages Posted: 10 Nov 2017 Last revised: 11 Oct 2021
Date Written: October 8, 2021
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
JEL Classification: G14, G23, G11, G12
Suggested Citation: Suggested Citation