Mutual fund trading and portfolio disclosures

Ortiz, Cristina (Universidad de Zaragoza) ; Ramírez, Gloria ; Vicente Gimeno, Luis Alfonso (Universidad de Zaragoza)

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)