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Bank Window Dressing: A Re-Assessment and a Puzzle

Author

Listed:
  • Shanshan Yang
  • Sherrill Shaffer

Abstract

Expanded public availability of U.S. banking data has prompted a need to reexamine end-of-quarter window dressing. We find substantial heterogeneity in the pattern of window dressing across banks and products, not all of which can be explained as customerinitiated, and some of which is consistent with theoretical predictions in the absence of publicly available data. These findings call into question the efficacy of financial disclosure in constraining banks?behavior, and raise new issues for further research

Suggested Citation

  • Shanshan Yang & Sherrill Shaffer, 2010. "Bank Window Dressing: A Re-Assessment and a Puzzle," CAMA Working Papers 2010-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2010-06
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2021-06/06_yang_shaffer_2010.pdf
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    References listed on IDEAS

    as
    1. Musto, David K, 1997. "Portfolio Disclosures and Year-End Price Shifts," Journal of Finance, American Finance Association, vol. 52(4), pages 1563-1588, September.
    2. Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
    3. Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 329-343, September.
    4. Allen, Linda & Saunders, Anthony, 1992. "Bank window dressing: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 585-623, June.
    5. Mark D. Griffiths & Drew B. Winters, 2005. "The Turn of the Year in Money Markets: Tests of the Risk-Shifting Window Dressing and Preferred Habitat Hypotheses," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1337-1364, July.
    6. Vladimir Kotomin & Drew Winters, 2006. "Quarter-End Effects in Banks: Preferred Habitat or Window Dressing?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 61-82, February.
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    Cited by:

    1. Gersbach, Hans & Zelzner, Sebastian, 2022. "Why Bank Money Creation?," CEPR Discussion Papers 17753, C.E.P.R. Discussion Papers.
    2. Satyavati Shukla & Shirishkumar Gedam & M. V. Khire, 2020. "Implications of demographic changes and land transformations on surface water quality of rural and urban subbasins of Upper Bhima River basin, Maharashtra, India," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(1), pages 129-171, January.

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    More about this item

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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