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The Intended Consequences of More Frequent Portfolio Disclosure of Mutual Funds
Ji-Woong Chung(정지웅),Koren Jo,Jaeouk Kim(김재욱),Sejin Kang 한국경영학회 2021 한국경영학회 통합학술발표논문집 Vol.2021 No.8
We study the effect of increased portfolio transparency on mutual funds’ portfolio manipulation activities and investors’ capital allocation efficiency. Investigating the 2004 regulation change to increase the frequency of mutual fund portfolio disclosure in a difference-in-differences framework, we find that investment efficiency as measured by the return predictability of money flows has improved after the rule change. However, there is little evidence that portfolio manipulation practices - portfolio overlap, portfolio pumping, style drift, and window dressing - have declined after 2004. We conclude that a disclosure policy aiming to increase transparency about portfolio holdings enhances the information environment in the mutual fund market and enables investors to make more informed asset allocation decisions, but it is not sufficient to discourage fund managers from engaging in opportunistic behavior.