Mutual Fund Trading and Portfolio Disclosures

Cristina Ortiz (), Gloria Ramírez () and Luis Vicente ()

Journal of Financial Services Research, 2015, vol. 48, issue 1, 83-102

Abstract: 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. Copyright Springer Science+Business Media New York 2015

Keywords: Mutual funds; Window dressing; January effect; Agency problem; Intra-quarter trading; G11; G12; G23 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10693-014-0198-2

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