Arbeitspapier
Mandatory portfolio disclosure, stock liquidity, and mutual fund performance
We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the SEC regulation in May 2004 requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 13-04 [rev.]
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Agarwal, Vikas
Mullally, Kevin Andrew
Tang, Yuehua
Yang, Baozhong
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Agarwal, Vikas
- Mullally, Kevin Andrew
- Tang, Yuehua
- Yang, Baozhong
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2014
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