Don't Take Their Word for It: The Misclassification of Bond Mutual Funds

• 成果类型: Article; Early Access
• 署名作者: Chen, Huaizhi; Cohen, Lauren; Gurun, Umit G.
• 署名单位: University of Notre Dame; Harvard University; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13023
• 发表日期: 2021
• 关键词: DELISTING BIAS; ERROR RATES; CRSP; style; performance; RISK; strategies; COMPUSTAT; Managers; returns

摘要

We provide evidence that bond fund managers misclassify their holdings, and that these misclassifications have a real and significant impact on investor capital flows. The problem is widespread, resulting in up to 31.4% of funds being misclassified with safer profiles, compared to their true, publicly reported holdings. Misclassified funds-those that hold risky bonds but claim to hold safer bonds-appear to on-average outperform lower risk funds in their peer groups. Within category groups, misclassified funds receive more Morningstar stars and higher investor flows. However, when we correctly classify them based on actual risk, these funds are mediocre performers.