Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Vikas Agarwal, Kevin Andrew Mullally, Yuehua Tang and Baozhong Yang

No 13-04 [rev.], CFR Working Papers from University of Cologne, Centre for Financial Research (CFR)

Abstract: We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the SEC regulation in May 2004 requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.

Date: 2014
New Economics Papers: this item is included in nep-cta, nep-fmk, nep-mst and nep-reg
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfrwps:1304r

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