Research / Flows and events

Period-end marking

Positions marked near reporting dates move prices in ways that reverse.

The idea

Managers mark positions near reporting dates, moving prices in ways that tend to reverse.

Why it might exist

A reporting date creates an incentive to show certain holdings or levels.

Who is on the other side

Managers acting for a reporting date, not for price.

What would retire it

The effect does not survive the count of looks.