Mutual fund trading and portfolio disclosures
Resumen: This is the first study in a large European market which analyzes monthly portfolios to obtain evidence of equity fund trading around quarterly reports. A new portfolio-weight approach shows that managers disclose large-cap and well-known stocks with higher returns and hide the same return-loser stocks in the reporting months. A fund-size agency problem plays an important role in this window dressing evidence. Fund trading also shows that managers benefits from the January effect by buying small-cap stocks at the beginning of the year rather than causing this anomaly.
Idioma: Inglés
DOI: 10.1007/s10693-014-0198-2
Año: 2015
Publicado en: JOURNAL OF FINANCIAL SERVICES RESEARCH 48, 1 (2015), 83-102
ISSN: 0920-8550

Factor impacto JCR: 0.769 (2015)
Categ. JCR: BUSINESS, FINANCE rank: 60 / 94 = 0.638 (2015) - Q3 - T2
Factor impacto SCIMAGO: 0.825 - Accounting (Q2) - Finance (Q2) - Economics and Econometrics (Q2)

Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2009-12819-C03-02
Financiación: info:eu-repo/grantAgreement/ES/UZ/268-159
Tipo y forma: Article (PostPrint)
Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)

Creative Commons You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use. You may not use the material for commercial purposes.


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