Do Mutual Funds Walk the Talk? Evidence from Fund Risk Disclosure

• 成果类型: Article; Early Access
• 署名作者: Sheng, Jinfei; Xu, Nan; Zheng, Lu
• 署名单位: University of California System; University of California Irvine; Shanghai University of Finance & Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag020
• 发表日期: 2026-07-09
• 关键词: G12; STOCK RETURNS EVIDENCE; information disclosure; cross-section; performance; news; tournaments; volatility; selection; MANAGER; matter

摘要

We examine the informativeness of fund risk disclosure by combining fund returns and textual data. We develop a novel measure, INF, to capture the explanatory power of disclosed risks for fund returns. Average INF is 55% after controlling for market risk and remains 26-29% after excluding risks related to fund name or strategy. We explain variations in INF through disclosure costs and benefits: (1) Funds with less informative disclosures face SEC comment letters and reduced flow, (2) informative disclosures attract institutional flows, and (3) performance concerns may disincentivize disclosure. Overall, funds face trade-offs between transparency and maintaining their competitive advantage.