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Window dressing in mutual funds

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  • Agarwal, Vikas
  • Gay, Gerald D.
  • Ling, Leng
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    Paper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 11-07 [rev.2].

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    Date of creation: 2013
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    Handle: RePEc:zbw:cfrwps:1107r2

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    References

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    1. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "On the Industry Concentration of Actively Managed Equity Mutual Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 60(4), pages 1983-2011, 08.
    2. Martijn Cremers & Antti Petajisto, 2006. "How Active is Your Fund Manager? A New Measure That Predicts Performance," Yale School of Management Working Papers, Yale School of Management amz2370, Yale School of Management, revised 01 May 2009.
    3. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(3), pages 724-758, December.
    4. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008. "Unobserved Actions of Mutual Funds," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(6), pages 2379-2416, November.
    5. Laura T. Starks & Li Yong & Lu Zheng, 2006. "Tax-Loss Selling and the January Effect: Evidence from Municipal Bond Closed-End Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 61(6), pages 3049-3067, December.
    6. Frank, Mary Margaret & Poterba, James M & Shackelford, Douglas A & Shoven, John B, 2004. "Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, University of Chicago Press, vol. 47(2), pages 515-41, October.
    7. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc.
    8. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 393-416, July.
    9. Vikas Agarwal & Naveen D. Daniel & Narayan Y. Naik, 2011. "Do Hedge Funds Manage Their Reported Returns?," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(10), pages 3281-3320.
    10. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, American Economic Association, vol. 81(2), pages 227-31, May.
    11. Paul A. Gompers & Andrew Metrick, 2001. "Institutional Investors And Equity Prices," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 116(1), pages 229-259, February.
    12. Sias, Richard W & Starks, Laura T, 1997. " Institutions and Individuals at the Turn-of-the-Year," Journal of Finance, American Finance Association, American Finance Association, vol. 52(4), pages 1543-62, September.
    13. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, American Finance Association, vol. 53(5), pages 1589-1622, October.
    14. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 54(2), pages 581-622, 04.
    15. Mark M. Carhart & Ron Kaniel & David K. Musto & Adam V. Reed, 2002. "Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 57(2), pages 661-693, 04.
    16. Ritter, Jay R & Chopra, Navin, 1989. " Portfolio Rebalancing and the Turn-of-the-Year Effect," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 149-66, March.
    17. Matthew R. Morey & Edward S. O'Neal, 2006. "Window Dressing In Bond Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 29(3), pages 325-347.
    18. Chevalier, J. & Ellison, G., 1996. "Risk Taking by Mutual Funds as a Response to Incentives," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
    19. Khorana, Ajay, 1996. "Top management turnover An empirical investigation of mutual fund managers," Journal of Financial Economics, Elsevier, Elsevier, vol. 40(3), pages 403-427, March.
    20. James M. Poterba, 2001. "Capital Gains Tax Rules, Tax-loss Trading, and Turn-of-the-year Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 353-368, 02.
    21. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 57-82, March.
    22. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers, Yale School of Management ysm451, Yale School of Management.
    23. Jia He, 2004. "Quarterly Trading Patterns of Financial Institutions," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 77(3), pages 493-510, July.
    24. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 66(1), pages 47-68, January.
    25. Cohen, Randolph & Coval, Joshua & Pástor, Luboš, 2003. "Judging Fund Managers by the Company They Keep," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3717, C.E.P.R. Discussion Papers.
    26. Jennifer Huang & Kelsey D. Wei & Hong Yan, 2007. "Participation Costs and the Sensitivity of Fund Flows to Past Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 62(3), pages 1273-1311, 06.
    27. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, American Economic Association, vol. 85(5), pages 1088-1105, December.
    28. Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, University of Chicago Press, vol. 35(1), pages 45-70, April.
    29. K. J. Martijn Cremers & Antti Petajisto, 2009. "How Active Is Your Fund Manager? A New Measure That Predicts Performance," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(9), pages 3329-3365, September.
    30. David K. Musto, 1999. "Investment Decisions Depend on Portfolio Disclosures," Journal of Finance, American Finance Association, American Finance Association, vol. 54(3), pages 935-952, 06.
    31. Chen, Hsiu-Lang & Jegadeesh, Narasimhan & Wermers, Russ, 2000. "The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 35(03), pages 343-368, September.
    32. Marcin Kacperczyk & Amit Seru, 2007. "Fund Manager Use of Public Information: New Evidence on Managerial Skills," Journal of Finance, American Finance Association, American Finance Association, vol. 62(2), pages 485-528, 04.
    33. Honghui Chen & Vijay Singal, 2004. "All Things Considered, Taxes Drive The January Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 27(3), pages 351-372.
    34. Richard W. Sias & Laura T. Starks, 2006. "Changes in Institutional Ownership and Stock Returns: Assessment and Methodology," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 79(6), pages 2869-2910, November.
    35. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 65-91, March.
    36. Ng, Lilian & Wang, Qinghai, 2004. "Institutional trading and the turn-of-the-year effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(2), pages 343-366, November.
    37. Gordon J. Alexander & Gjergji Cici & Scott Gibson, 2007. "Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 20(1), pages 125-150, January.
    38. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. " Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 85-110, March.
    39. Daniel, Kent, et al, 1997. " Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, American Finance Association, vol. 52(3), pages 1035-58, July.
    40. Russ Wermers, 2000. "Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses," Journal of Finance, American Finance Association, American Finance Association, vol. 55(4), pages 1655-1703, 08.
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