Portfolio Pumping: An Examination of Investment Manager Quarter-End Trading and Impact on Performance

40 Pages Posted: 4 Nov 2005 Last revised: 31 Mar 2008

See all articles by Peter L. Swan

Peter L. Swan

University of New South Wales (UNSW Sydney; Financial Research Network (FIRN)

Peter Gardner

Plato Investment Management

David R. Gallagher

Rozetta Institute

Date Written: October 26, 2005

Abstract

Utilizing a database of daily institutional fund manager trades, we examine the contribution of strategic trading at quarter-end associated with potential 'portfolio pumping' or 'ramping up' of reported stock prices around quarter ends. We provide the first direct evidence that active fund managers tend to purchase illiquid stocks on the last day of the quarter, in stocks in which they already hold overweight portfolio positions. Consistent with the way fund managers are evaluated, we find the poor-performing managers display greater evidence of portfolio pumping. Both increased regulatory scrutiny and improvements to market microstructure design reduce the severity of stock price changes at quarter ends.

Keywords: Gaming behavior, Window dressing, Portfolio pumping, Market manipulation

JEL Classification: G23

Suggested Citation

Swan, Peter Lawrence and Gardner, Peter and Gallagher, David R., Portfolio Pumping: An Examination of Investment Manager Quarter-End Trading and Impact on Performance (October 26, 2005). Available at SSRN: https://ssrn.com/abstract=836244 or http://dx.doi.org/10.2139/ssrn.836244

Peter Lawrence Swan

University of New South Wales (UNSW Sydney ( email )

School of Banking and Finance
UNSW Business School
Sydney NSW, NSW 2052
Australia
+61 2 9385 5871 (Phone)
+61 2 9385 6347 (Fax)

HOME PAGE: http://https://www.business.unsw.edu.au/our-people/peterswan

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Peter Gardner (Contact Author)

Plato Investment Management ( email )

Level 14, 167 Macquarie St
Sydney, New South Wales 2066
Australia

David R. Gallagher

Rozetta Institute ( email )

Sydney

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
341
Abstract Views
2,176
rank
124,867
PlumX Metrics