Mandatory portfolio disclosure, stock liquidity, and mutual fund performance
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.
market liquidity, returns, managers, holdings, trades, information, benchmarks, linkages, industry, skills
Corporate Finance | Finance and Financial Management
Journal of Finance
Wiley: No OnlineOpen
AGARWAL, Vikas; MULLALLY, Kevin A.; YUEHUA TANG; and YANG, Baozhong.
Mandatory portfolio disclosure, stock liquidity, and mutual fund performance. (2015). Journal of Finance. 70, (6), 2733-2776. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/4966
This document is currently not available here.