Arbeitspapier
Window dressing in mutual funds
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit from higher (lower) investor flows as compared to non-window dressers. Window dressers also have poor past performance, possess little skill, and incur high portfolio turnover and trade costs, characteristics which in turn result in worse future performance.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 11-07 [rev.3]
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Financial Institutions and Services: General
- Thema
-
Mutual funds
Window dressing
Portfolio disclosure
Fund flows
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Agarwal, Vikas
Gay, Gerald D.
Ling, Leng
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Agarwal, Vikas
- Gay, Gerald D.
- Ling, Leng
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2014
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