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Mutual Fund Trading and Portfolio Disclosures

Author

Listed:
  • Cristina Ortiz
  • Gloria Ramírez
  • Luis Vicente

Abstract

This is the first study in a large European market which analyzes monthly portfolios to obtain evidence of equity fund trading around quarterly reports. A new portfolio-weight approach shows that managers disclose large-cap and well-known stocks with higher returns and hide the same return-loser stocks in the reporting months. A fund-size agency problem plays an important role in this window dressing evidence. Fund trading also shows that managers benefits from the January effect by buying small-cap stocks at the beginning of the year rather than causing this anomaly. Copyright Springer Science+Business Media New York 2015

Suggested Citation

  • Cristina Ortiz & Gloria Ramírez & Luis Vicente, 2015. "Mutual Fund Trading and Portfolio Disclosures," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(1), pages 83-102, August.
    • Handle: RePEc:kap:jfsres:v:48:y:2015:i:1:p:83-102
    DOI: 10.1007/s10693-014-0198-2
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    References listed on IDEAS

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    Cited by:

    1. Kunz, Alexis H. & Messner, Claude & Wallmeier, Martin, 2017. "Investors’ risk perceptions of structured financial products with worst-of payout characteristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 66-73.
    2. Moritz Wagner & Dimitris Margaritis, 2019. "Late Trading in Mutual Fund Shares – The Sequel?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 89-109, February.
    3. Andreu, Laura & Ortiz, Cristina & Sarto, José Luis, 2020. "Disposition effect in fund managers. Fund and stock-specific factors and the upshot for investors," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 253-268.

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    More about this item

    Keywords

    Mutual funds; Window dressing; January effect; Agency problem; Intra-quarter trading; G11; G12; G23;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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