Title

Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Publication Type

Journal Article

Publication Date

12-2015

Abstract

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, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors.

Keywords

market liquidity, returns, managers, holdings, trades, information, benchmarks, linkages, industry, skills

Discipline

Corporate Finance | Finance and Financial Management

Research Areas

Finance

Publication

Journal of Finance

Volume

70

Issue

6

First Page

2733

Last Page

2776

ISSN

0022-1082

Identifier

10.1111/jofi.12245

Publisher

Wiley: No OnlineOpen

Additional URL

http://dx.doi.org/10.1111/jofi.12245

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