Revisiting Mutual Fund Portfolio Disclosure

• 成果类型: Article
• 署名作者: Schwarz, Christopher G.; Potter, Mark E.
• 署名单位: University of California System; University of California Irvine; Babson College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw057
• 发表日期: 2016
• 页码: 3519
• 关键词: institutional investors; DELISTING BIAS; Hedge funds; ERROR RATES; CRSP; performance; holdings; COMPUSTAT; decisions; returns

摘要

We document that CRSP and Thomson contain many voluntarily reported mutual fund portfolios that are not in SEC filings while, additionally, CRSP and Thomson are missing many SEC mandated portfolios available in SEC filings. We document that the voluntary disclosures are likely driven by convenience rather than duplicity. Although mandated portfolios contain securities with more return momentum, we find use of SEC or Thomson data lead to similar empirical findings. CRSP, however, contains inaccurate position information prior to 2008. Our findings have important implications, such as highlighting a 35% increase in observed manager trading by combining data sources.