Portfolio Disclosures and Year-End Price Shifts
研究发现商业票据在年末有额外折价，而国债没有，这种价格变动与小型股回报相关，且不能归因于税收亏损出售，证据表明债务和权益模式均反映与投资组合披露相关的代理问题。
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.