Carhart, Mark M.; Kaniel, Ron; Musto, David K.; Reed, … - In: Journal of Finance 57 (2002) 2, pp. 661-693
We present evidence that fund managers inflate quarter-end portfolio prices with last-minute purchases of stocks already held. The magnitude of price inflation ranges from 0.5 percent per year for large-cap funds to well over 2 percent for small-cap funds. We find that the cross section of...
