Portfolio Disclosures and Year-End Price Shifts



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    • Wharton School, University of Pennsylvania. This article includes work from my dissertation at the University of Chicago. I thank my committee members—Kent Daniel, Milt Harris, Steve Kaplan, Raghu Rajan, and Rob Vishny—and especially chairman Doug Diamond. Additional helpful input came from Mike Barclay, Anne Gron, Bruce Grundy, Anil Kashyap, Don Keim, Josef Lakonishok, Anthony Lynch, Jay Ritter, Steve Ross, Rob Stambaugh, seminar participants at Chicago, Illinois, Michigan, Washington University, Wharton, Northwestern and Columbia, René Stulz (the editor), and an anonymous referee. All remaining errors and insights are mine. This research was supported by a grant from Dimensional Fund Advisors.


Commercial paper sells at an extra discount if it matures in the next calendar year but Treasury bills do not. The discount is apparent in downward price shifts before the year-end, and upward price shifts at the turn of the year that are significantly correlated with the simultaneous returns to small stocks, and that cannot reflect tax-loss selling. Cross-sectional and time-series tests on prices, as well as low of funds evidence on trades by institutional investors, indicate that both the debt and equity patterns reflect agency problems related to portfolio disclosures.