Leaning for the tape: Evidence of gaming behavior in equity mutual funds

• 成果类型: Article
• 署名作者: Carhart, MM; Kaniel, R; Musto, DK; Reed, AV
• 署名单位: University of Texas System; University of Texas Austin; University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00438
• 发表日期: 2002
• 页码: 661-693
• 关键词: OF-THE-YEAR; PORTFOLIO DISCLOSURES; stock returns; performance; price; persistence; incentives; industry; volume; IMPACT

摘要

We present evidence that fund managers inflate quarter-end portfolio prices with last-minute purchases of stocks already held. The magnitude of price inflation ranges from 0.5 percent per year for large-cap funds to well over 2 percent for small-cap funds. We find that the cross section of inflation matches the cross section of incentives from the flow/performance relation, that a surge of trading in the quarter's last minutes coincides with a surge in equity prices, and that the inflation is greatest for the stocks held by funds with the most incentive to inflate, controlling for the stocks' size and performance.