Public Disclosures and Calendar-Related Movements in Risk Premiums: Evidence from Interbank Lending, Journal of Financial Markets
This paper finds that risk premiums on overnight interbank loans increase dramatically at year-end. Further, cross-sectional variation in prices reflects, in part, differences in public disclosure requirements across institutions, suggesting a significant influence of window dressing on behavior in this market.
Furfine, Craig. 2004. Public Disclosures and Calendar-Related Movements in Risk Premiums: Evidence from Interbank Lending. Journal of Financial Markets. 7(1): 97-116.