Painting the Tape: Aggregate Evidence

Posted: 8 Sep 2005  

Dan Bernhardt

University of Illinois at Urbana-Champaign - Department of Economics

Ryan J. Davies

Babson College - Finance Division

Abstract

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

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

Dan Bernhardt

University of Illinois at Urbana-Champaign - Department of Economics ( email )

1206 South Sixth Street
Champaign, IL 61820
United States
217-244-5708 (Phone)

Ryan J. Davies (Contact Author)

Babson College - Finance Division ( email )

Tomasso Hall
Babson Park, MA 02457-0310
United States
781-239-5345 (Phone)
781-239-5004 (Fax)

HOME PAGE: http://faculty.babson.edu/rdavies/

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