Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2013 - First Version: March 31, 2011, This version: July 26, 2013
inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on … their performance during a reporting delay period, which affects investors' interpretation of the two conflicting signals … and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit from higher (lower …