Portfolio Pumping and Managerial Structure

• 成果类型: Article
• 署名作者: Patel, Saurin; Sarkissian, Sergei
• 署名单位: Western University (University of Western Ontario); McGill University; University of Edinburgh
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa027
• 发表日期: 2021
• 页码: 194
• 关键词: FUND MANAGERS; performance; BEHAVIOR; FLOWS; TAPE

摘要

Using U.S. equity mutual fund data, we show that portfolio pumping-an illegal trading activity that artificially inflates year- and quarter-end portfolio returns-is more pronounced among single-managed funds compared with team-managed ones. The return inflation by team-managed funds is 45% lower than by single-managed funds at year-ends. Also, portfolio pumping decreases as team size increases. These results are driven by peer effects among teams and, sometimes, amplified by less convex flow-performance relation in team-managed funds. Our findings are robust to differences in fund governance, manager career concerns, local networks, fund family policies, and changes in the SEC's enforcement policies.