Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance

• 成果类型: Article
• 署名作者: Agarwal, Vikas; Mullally, Kevin A.; Tang, Yuehua; Yang, Baozhong
• 署名单位: University System of Georgia; Georgia State University; University of Cologne; University System of Georgia; Georgia State University; Singapore Management University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12245
• 发表日期: 2015
• 页码: 2733-2776
• 关键词: market liquidity; returns; Managers; holdings; trades; INFORMATION; benchmarks; linkages; industry; skills

摘要

We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.