WINDOW DRESSING IN BOND MUTUAL FUNDS
We examine portfolio credit quality holding and daily return patterns in a large sample of bond mutual funds and document evidence of window dressing. Using portfolio credit quality holdings data, we find that bond funds on average hold significantly more government bonds during disclosure than nondisclosure, presumably to present a safer portfolio to shareholders. Multiple-index market models estimated with daily returns data corroborate these findings. We detect differences in factor loadings on days surrounding disclosure dates that indicate systematic tilting of the portfolio toward higher quality instruments. 2006 The Southern Finance Association and the Southwestern Finance Association.
Year of publication: |
2006
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Authors: | Morey, Matthew R. ; O'Neal, Edward S. |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 29.2006, 3, p. 325-347
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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