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Investment Decisions Depend on Portfolio Disclosure

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Author Info
David K. Musto
Abstract

A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This allows for a more direct and unambiguous test for “window dressing” than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios.

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File URL: http://fic.wharton.upenn.edu/fic/papers/97/9749.pdf
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Paper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 97-49.

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Date of creation: Aug 1997
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Handle: RePEc:wop:pennin:97-49

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  1. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, vol. 81(2), pages 227-31, May. [Downloadable!] (restricted)
    Other versions:
  2. Musto, David K, 1997. " Portfolio Disclosures and Year-End Price Shifts," Journal of Finance, American Finance Association, vol. 52(4), pages 1563-88, September. [Downloadable!] (restricted)
  3. Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Ritter, Jay R, 1988. " The Buying and Selling Behavior of Individual Investors at the Turn of the Year," Journal of Finance, American Finance Association, vol. 43(3), pages 701-17, July. [Downloadable!] (restricted)
  5. Sias, Richard W & Starks, Laura T, 1997. " Institutions and Individuals at the Turn-of-the-Year," Journal of Finance, American Finance Association, vol. 52(4), pages 1543-62, September. [Downloadable!] (restricted)
  6. Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-6.

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