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

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journal contribution
posted on 01.04.2017, 00:00 authored by Z Chen, D R Gallagher, Adrian LeeAdrian Lee
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.

History

Journal

Accounting and finance

Volume

57

Issue

S1

Pagination

101 - 116

Publisher

Wiley

Location

Chichester, Eng.

ISSN

0810-5391

eISSN

1467-629X

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2016, AFAANZ