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Valuation Risk in Mutual Fund Portfolio Disclosure
Chen, Hsiu-lang - 2021
Valuation risk of a security—uncertainty about its fair value—is a subject of considerable concern in the mutual fund …
Persistent link: https://www.econbiz.de/10013223805
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Do Mutual Funds Walk the Talk? A Textual Analysis of Risk Disclosure by Mutual Funds
Sheng, Jinfei; Xu, Nan; Zheng, Lu - 2021
Do risk disclosures by mutual funds reflect funds’ actual investment risks? Using textual analysis, we examine risk … types of risks disclosed by funds and study the relation between fund-disclosed risks and risk factors documented in … academic studies. We find that most disclosed risks can be linked to meaningful and well-known academic risk factors. In our …
Persistent link: https://www.econbiz.de/10013238452
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Mutual funds and risk disclosure : information content of fund prospectuses
Krakow, Jonathan; Schäfer, Timo - 2020
the content of funds' prospectuses. First, we find that funds disclosed risks increase with their exposed risk. They … methods from textual analysis, we document that around one-third of the variation in the content of funds' risk disclosures is … fund-specific, while a substantial part of a fund's risk disclosures is determined at the fund group level. Our findings …
Persistent link: https://www.econbiz.de/10012271034
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Monthly mutual fund portfolio disclosures and the efficiency of portfolio firms’ investment decisions
Du, Kai; Huang, Jingzhi; Louis, Henock; Truong, Phong - 2022
Mutual funds’ switches to monthly holding disclosures reduce the efficiency of corporate investments. Consistent with a crowding-out mechanism, the evidence suggests that monthly portfolio disclosures discourage information production activities by other market participants and, consequently,...
Persistent link: https://www.econbiz.de/10013323334
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Strategic Timing in Closed-End Fund Portfolio Holdings Disclosure
Kallenos, Theodosis L. - 2020
Using a sample of equity closed-end funds, we document significant portfolio holdings disclosure valuation effects and strategic disclosure timing by portfolio managers. An event study analysis reveals statistically significant positive (negative) abnormal returns associated with early (late)...
Persistent link: https://www.econbiz.de/10012849982
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Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance
Agarwal, Vikas - 2014
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...
Persistent link: https://www.econbiz.de/10013063980
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Mandatory portfolio disclosure, stock liquidity, and mutual fund performance
Agarwal, Vikas; Mullally, Kevin; Tang, Yuehua; Yang, … - 2013
This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased...
Persistent link: https://www.econbiz.de/10009764572
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2015
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10010503880
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2014 - This version: August 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10010530827
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Dissecting short-sale performance : evidence from large position disclosures
Jank, Stephan; Smajlbegovic, Esad - 2015
hedge funds, the predominant investor group, generate an annualized Fama and French (1993) risk-adjusted return of about 5 …
Persistent link: https://www.econbiz.de/10011392610