Portfolios in disguise? Window dressing in bond fund holdings

Cristina Ortiz, José Luis Sarto and Luis Vicente

Journal of Banking & Finance, 2012, vol. 36, issue 2, 418-427

Abstract: This paper builds on the limited body of research on window dressing by bond mutual funds. Our monthly bias-free sample allows us to undertake a more comprehensive study than is possible with the quarterly data traditionally employed in otherwise similar studies. We test window dressing in a straightforward manner using monthly undisclosed portfolios, which makes it possible to compare changes in public debt allocations around quarterly disclosures. Our results support the hypothesis that window dressing patterns vary with market conditions. We also conduct thorough tests that indicate the significant influence of fund size on window dressing. Individual analyses provide evidence that this cosmetic practice is not a widespread behaviour in the Spanish bond fund industry.

Keywords: Window dressing; Portfolio disclosures; Bond funds (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:36:y:2012:i:2:p:418-427

DOI: 10.1016/j.jbankfin.2011.07.017

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