diff --git a/pandas/tests/frame/indexing/test_setitem.py b/pandas/tests/frame/indexing/test_setitem.py
index 049874a4dd46f..d0f34488f815a 100644
--- a/pandas/tests/frame/indexing/test_setitem.py
+++ b/pandas/tests/frame/indexing/test_setitem.py
@@ -379,6 +379,17 @@ def test_setitem_complete_column_with_array(self):
         assert expected["d"].dtype == arr.dtype
         tm.assert_frame_equal(df, expected)
 
+    def test_setitem_period_d_dtype(self):
+        # GH 39763
+        rng = period_range("2016-01-01", periods=9, freq="D", name="A")
+        result = DataFrame(rng)
+        expected = DataFrame(
+            {"A": ["NaT", "NaT", "NaT", "NaT", "NaT", "NaT", "NaT", "NaT", "NaT"]},
+            dtype="period[D]",
+        )
+        result.iloc[:] = rng._na_value
+        tm.assert_frame_equal(result, expected)
+
     @pytest.mark.parametrize("dtype", ["f8", "i8", "u8"])
     def test_setitem_bool_with_numeric_index(self, dtype):
         # GH#36319