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Portfolios in disguise? Window dressing in bond fund holdings

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  • Ortiz, Cristina
  • Sarto, José Luis
  • Vicente, Luis
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    Abstract

    This paper builds on the limited body of research on window dressing by bond mutual funds. Our monthly bias-free sample allows us to undertake a more comprehensive study than is possible with the quarterly data traditionally employed in otherwise similar studies. We test window dressing in a straightforward manner using monthly undisclosed portfolios, which makes it possible to compare changes in public debt allocations around quarterly disclosures. Our results support the hypothesis that window dressing patterns vary with market conditions. We also conduct thorough tests that indicate the significant influence of fund size on window dressing. Individual analyses provide evidence that this cosmetic practice is not a widespread behaviour in the Spanish bond fund industry.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 2 ()
    Pages: 418-427

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    Handle: RePEc:eee:jbfina:v:36:y:2012:i:2:p:418-427

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Window dressing; Portfolio disclosures; Bond funds;

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    References

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    Cited by:
    1. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.

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