Portfolio pumping and dumping among Chinese mutual fund companies

Christine Jiang and Xianzhen Wang

Journal of Banking & Finance, 2024, vol. 162, issue C

Abstract: This study documents the engagement of Chinese mutual fund companies in year-end ranking games, in which they strategically buy and sell stocks substantially held by star funds and their competitors. Non-star funds contribute to approximately half of the buying and almost all selling. Fund companies actively participating in the game can attract more investment flows, but this comes at the cost of distorted relative performance among star funds and heightened return volatility across all involved funds. Furthermore, major holdings of star funds experience return reversals, increased idiosyncratic volatilities, and excessive trading around year-ends. The advent of FinTech platforms in mutual fund distribution amplifies these gaming behaviors.

Keywords: Fund companies; Ranking game; Star funds; Window dressing (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:162:y:2024:i:c:s037842662400075x

DOI: 10.1016/j.jbankfin.2024.107155

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