Window dressing in the Active Share scores in publicly reported portfolios

Andreu, L. (Universidad de Zaragoza) ; Forner, C. ; Sarto, J.L. (Universidad de Zaragoza)

Resumen: Using a unique database that includes publicly disclosed fund holdings at the end of the quarter as well as the holdings in all non-publicly disclosed months, we found that some funds could alter their portfolios in publicly disclosed months to artificially increase their Active Share scores and consequently appear more active and take advantage of the positive relationship between Active Share and money flows. We show how, consistent with non-informed trades, these funds erode their future performance. However, these funds reach their objective of increasing future money flows. Moreover, we find that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share scores and low tracking errors have the highest levels of Active Share window dressing and the worst future returns. However, compared with less active funds, they are able to capture higher money flows.

Idioma: Inglés

DOI: 10.1177/23409444211024645

Año: 2021

Publicado en: BRQ Business Research Quarterly (2021), [22 pp.]
ISSN: 2340-9436

Factor impacto JCR: 4.204 (2021)

Categ. JCR: MANAGEMENT rank: 124 / 228 = 0.544 (2021) - Q3 - T2
Categ. JCR: BUSINESS rank: 95 / 154 = 0.617 (2021) - Q3 - T2

Factor impacto CITESCORE: 6.4 - Economics, Econometrics and Finance (Q1) - Business, Management and Accounting (Q1)

Factor impacto SCIMAGO: 0.751 - Business and International Management (Q1) - Strategy and Management (Q1) - Business, Management and Accounting (miscellaneous) (Q1)

Financiación: info:eu-repo/grantAgreement/ES/MCIU/RTI2018-093483-B-I00

Tipo y forma: Artículo (Versión definitiva)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)