Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

• Main Authors: AGARWAL, Vikas, MULLALLY, Kevin A., YUEHUA TANG, YANG, Baozhong
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2015
• 主題: market liquidity; returns; managers; holdings; trades; information; benchmarks; linkages; industry; skills; Corporate Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/4966

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 May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, es...