Figure 1
Three panels, each with a horizontal timeline, illustrate the fiscal year-end grouping by months: Panel A: “Fiscal year-ends in January, April, July, and October (first month in a quarter)”. The horizontal timeline with labeled marks begins with a leftmost arrow labeled “F Y E subscript t−1” at the first of two markings in Q subscript negative 1, followed by another arrow labeled “Formation date” at the starting of Q subscript 1. The axis is divided into sections: Q subscript negative 1, Q subscript 0, Q subscript 1, Q subscript 2, Q subscript 3, and Q subscript 4. The period covering Q subscript 1 through Q subscript 4 is bracketed as “Institutional trading window”. Panel B: “Fiscal year-ends in February, May, August, and November (second month in a quarter)”. The horizontal timeline with labeled marks begins with a leftmost arrow labeled “F Y E subscript t−1” at the second of two markings in Q subscript negative 1, followed by another arrow labeled “Formation date” at the starting of Q subscript 1. The axis is divided into sections: Q subscript negative 1, Q subscript 0, Q subscript 1, Q subscript 2, Q subscript 3, and Q subscript 4. The period covering Q subscript 1 through Q subscript 4 is bracketed as “Institutional trading window”. Panel C: “Fiscal year-ends in March, June, September, and December (third month in a quarter)”. The horizontal timeline with labeled marks begins with a leftmost arrow labeled “F Y E subscript t−1” at the starting of Q subscript negative 1, followed by another arrow labeled “Formation date” at the starting of Q subscript 1. The axis is divided into sections: Q subscript negative 1, Q subscript 0, Q subscript 1, Q subscript 2, Q subscript 3, and Q subscript 4. The period covering Q subscript 1 through Q subscript 4 is bracketed as “Institutional trading window”.Timeline for the portfolio formation. This figure depicts the timelines for the portfolio formation after the fiscal year-ends. Firms have at least four months to file their financial statements. Panels A-C give the formation date and institutional trading window for the fiscal year-ends in the first month, second month and third month of a calendar quarter, respectively. The figure is created by authors