Window Dressing in Mutual Funds

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Gay, Gerald D.; Ling, Leng
• 署名单位: University System of Georgia; Georgia State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu045
• 发表日期: 2014
• 页码: 3133
• 关键词: OF-THE-YEAR; STOCK-PICKING TALENT; institutional investors; EMPIRICAL DECOMPOSITION; PORTFOLIO DISCLOSURES; transactions costs; COPYCAT FUNDS; risk-taking; performance; returns

摘要

We provide a rationale for window dressing wherein investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers make a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit (suffer) from higher (lower) investor flows compared with non-window dressers. Window dressers also show poor past performance, possess little skill, and incur high portfolio turnover and trade costs, characteristics which in turn result in worse future performance.