Fund trades and stock prices vary systematically with the quarterly reporting cycle. Funds accelerate trades that complete the building of existing positions at quarter-end but delay trades that initiate the building of new positions until the start of the new quarter. Evidence suggests these trade dynamics are driven by a dual desire to make disclosures more informative about future holdings but avoid disclosing incomplete positions. Consistent with disclosure-based motives unrelated to new information about intrinsic values driving these quarterly trade dynamics, both stock price informativeness and commissions paid by funds drop at quarter-end.

Yes. We show that dividend changes contain information about highly persistent changes in future economic income. Three methodological differences lead us to different conclusions from the extant literature: (i) we use an “event window approach” to cleanly delineate earnings after dividend changes from those before, (ii) we use alternative earnings measures to control for endogenous investment and asset write-downs surrounding dividend changes, and (iii) we control for the nonlinear relation between dividend changes and market reactions. Our results suggest dividend announcement returns reflect information about the level of permanent earnings, though the timing of the information content is difficult to reconcile with traditional signaling models.