Posted: 8 Sep 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
Suggested Citation: Suggested Citation
Bernhardt, Dan and Davies, Ryan J., Painting the Tape: Aggregate Evidence. Economics Letters, Vol. 89, pp. 306-311, 2005. Available at SSRN: https://ssrn.com/abstract=797545