Wrong Kind of Transparency? Mutual Funds' Higher Reporting Frequency, Window Dressing, and Performance

• 成果类型: Article
• 署名作者: Xin, Xiangang; Yeung, P. Eric; Zhang, Zilong
• 署名单位: City University of Hong Kong; Cornell University; Zhejiang University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12527
• 发表日期: 2024
• 页码: 737-781
• 关键词: Information asymmetry; disclosure; holdings; earnings; MARKET; COSTS; RISK; time

摘要

This study examines whether mandatory increase in reporting frequency exacerbates agency problems. Utilizing the setting of the 2004 SEC mandate on increased reporting frequency of mutual fund holdings, we show that increased reporting frequency elevates window dressing (buying winners or selling losers shortly before the end of the reporting period). This effect is driven by low-skill fund managers' incentives to generate mixed signals. Funds managed by low-skill managers experience lower returns, more outflows, and a higher collapse rate when their window dressing is elevated after the 2004 rule change. These results suggest that, although higher reporting frequency on agents' actions can exacerbate signal manipulations, the related manipulation costs improve sorting among agents in the longer term.