More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends

62 Pages Posted: 10 Nov 2017 Last revised: 11 Oct 2021

See all articles by Todd A. Gormley

Todd A. Gormley

Washington University in St. Louis; European Corporate Governance Institute (ECGI)

Zachary Kaplan

Washington University in St. Louis - John M. Olin Business School

Aadhaar Verma

Washington University in St. Louis

Date Written: October 8, 2021

Abstract

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

Gormley, Todd A. and Kaplan, Zachary and Verma, Aadhaar, More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends (October 8, 2021). Journal of Financial Economics (JFE), Forthcoming, Available at SSRN: https://ssrn.com/abstract=3067724 or http://dx.doi.org/10.2139/ssrn.3067724

Todd A. Gormley

Washington University in St. Louis ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
(314) 935-7171 (Phone)

HOME PAGE: http://www.gormley.info

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Zachary Kaplan (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States

Aadhaar Verma

Washington University in St. Louis ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO MO 63130-4899
United States

HOME PAGE: http://https://sites.google.com/view/aadhaarverma

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