Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?

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• 作者：Vladimir Kotomin and Drew B. Winters
• 关键词：Window dressing ; preferred habitat
• 刊名：Journal of Financial Services Research
• 出版年：2006
• 出版时间：February 2006
• 年：2006
• 卷：29
• 期：1
• 页码：61-82
• 全文大小：413 KB

文摘

Allen and Saunders [Allen, A., and A. Saunders. “Bank Window Dressing: Theory and Evidence.” Journal of Banking and Finance 16 (1992), 583–623.] document abnormal behavior of bank assets and liabilities at the turn-of-the-quarter and attribute it to window dressing by banks. Using different methods we re-visit bank turn-of-the-quarter balance sheet activity. We also examine quarter-end changes in the effective fed funds rates and fed funds rate standard deviations. We confirm the presence of turn-of-the-quarter activity on bank balance sheets and in the fed funds market. However, we conclude that the turn-of-the-quarter effects are more consistent with customer preferred habitats than window dressing.