Verbeek, Marno; Wang, Yu - In: Journal of Banking & Finance 37 (2013) 9, pp. 3454-3471
We construct hypothetical copycat funds to investigate the performance of free-riding strategies that duplicate the … disclosed asset holdings of actively managed mutual funds. On average, copycat funds are able to generate performance that is … substantial cross-sectional dispersion in the relative performance of copycat funds. Free-riding on the portfolios disclosed by …