TY - JOUR
T1 - Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance
AU - Gallagher, David R.
AU - Gardner, Peter
AU - Swan, Peter L.
N1 - Funding Information:
The authors thank the Editor, an anonymous referee, and seminar participants at The Australian National University, CFA Society of Sydney, The University of New South Wales, The University of Sydney, The University of Western Australia, the Melbourne-Monash PhD Symposium, The University of Queensland, Les Balzer, Karen Benson, Tim Brailsford, Carole Comerton-Forde, Alex Frino, Clive Gaunt, Teddy Oetomo, Tom Smith, and Terry Walter for helpful comments. We also thank the Australian Research Council for research funding (DP0346064), and the Securities Industry Research Centre of Asia-Pacific (SIRCA) for the provision of the ASX SEATS data. Contact details: David Gallagher ( [email protected] ), Peter Gardner ( [email protected] ), Peter Swan ( [email protected] ).
PY - 2009/1
Y1 - 2009/1
N2 - 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 found that 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.
AB - 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 found that 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.
UR - http://www.scopus.com/inward/record.url?scp=56549115651&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2007.12.001
DO - 10.1016/j.pacfin.2007.12.001
M3 - Article
AN - SCOPUS:56549115651
SN - 0927-538X
VL - 17
SP - 1
EP - 27
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
IS - 1
ER -