Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Chen Zhe; Gallagher David R.; Lee Adrian D.

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Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

机译：在没有强制披露的环境中测试投资组合持股披露的效果

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This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top-quartile fund managers, with longer inter-reporting intervals tending to result in greater differences. Copycat funds' following the disclosed holdings of top-tier managers significantly underperform the underlying fund, while copycats following bottom-tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.

机译：这项研究检查了在缺乏强制性披露的环境中，关于投资组合披露制度的准确性和敏感性的行为。我们发现，定期投资组合披露往往会低估前四分之一基金经理的真实超额业绩以及特质风险，较长的报告间隔会导致更大的差异。在公开披露的顶级经理人持股之后，模仿基金的表现明显落后于基础基金，而跟随底层经理人的模仿者的表现明显优于基础基金。我们的研究结果表明，每月或更长时间定期报告不会影响Alpha基金的产生。

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来源
《Accounting and finance》 |2017年第1期|113-129|共17页
作者
Chen Zhe; Gallagher David R.; Lee Adrian D.;
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作者单位

Ctr Int Finance & Regulat, Sydney, NSW, Australia|UNSW Australia, UNSW Business Sch, Sydney, NSW, Australia;

Ctr Int Finance & Regulat, Sydney, NSW, Australia|UNSW Australia, UNSW Business Sch, Sydney, NSW, Australia|Capital Markets CRC Ltd, Sydney, NSW, Australia|Macquarie Grad Sch Management, N Ryde, NSW, Australia;

Univ Technol Sydney, Broadway, NSW, Australia;

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原文格式 PDF
正文语种 eng
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关键词
Managed funds; Portfolio holdings disclosure; Copycat funds;

机译：管理资金;投资组合持有情况披露;模仿基金;

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2. Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance [J] . Agarwal Vikas, Mullally Kevin A., Tang Yuehua, Journal of Finance . 2015,第6期

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4. The Effect of Independent Commissioner, Leverage, Return on Equity to Voluntary Disclosures with Mandatory Disclosures as Moderating Variable [C] . Fitriasuri, Didik Susetyo, Inten Mutia, Global Conference on Business, Management and Entrepreneurship . 2020

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7. Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure [O] . Chen, Zhe, Gallagher, David R, Lee, Adrian D 2017

机译：在没有强制披露的环境中测试投资组合持股披露的效果

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

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