Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance

David R. Gallagher; Peter Gardner; Peter L. Swan

doi:10.1016/j.pacfin.2007.12.001

Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance

David R. Gallagher^*, Peter Gardner, Peter L. Swan

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

26 Citations (Scopus)

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 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.

Original language	English
Pages (from-to)	1-27
Number of pages	27
Journal	Pacific-Basin Finance Journal
Volume	17
Issue number	1
DOIs	https://doi.org/10.1016/j.pacfin.2007.12.001
Publication status	Published - Jan 2009
Externally published	Yes

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10.1016/j.pacfin.2007.12.001

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Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance

Abstract

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