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Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

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  • Agarwal, Vikas
  • Mullally, Kevin
  • Tang, Yuehua
  • Yang, Baozhong
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    Paper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 13-04.

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    Date of creation: 2013
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    Handle: RePEc:zbw:cfrwps:1304

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    1. Lesmond, David A., 2005. "Liquidity of emerging markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 77(2), pages 411-452, August.
    2. 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.
    3. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005. "Unobserved Actions of Mutual Funds," NBER Working Papers 11766, National Bureau of Economic Research, Inc.
    4. 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.
    5. 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.
    6. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    7. 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.
    8. 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.
    9. Michael J. Fishman & Kathleen M. Hagerty, 2003. "Mandatory Versus Voluntary Disclosure in Markets with Informed and Uninformed Customers," Journal of Law, Economics and Organization, Oxford University Press, Oxford University Press, vol. 19(1), pages 45-63, April.
    10. 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.
    11. 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.
    12. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(3), pages 642-685, June.
    13. 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.
    14. Vikas Agarwal & Wei Jiang & Yuehua Tang & Baozhong Yang, 2013. "Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide," Journal of Finance, American Finance Association, American Finance Association, vol. 68(2), pages 739-783, 04.
    15. 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.
    16. 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.
    17. Randolph Cohen & Joshua Coval & Lubos Pastor, 2002. "Judging Fund Managers by the Company They Keep," NBER Working Papers 9359, National Bureau of Economic Research, Inc.
    18. John S. Hughes & Steven Huddart & Markus K Brunnermeier, 1998. "Disclosure Requirements and Stock Exchange Listing Choice in an International Context," FMG Discussion Papers, Financial Markets Group dp282, Financial Markets Group.
    19. 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.
    20. Coval, Joshua & Stafford, Erik, 2007. "Asset fire sales (and purchases) in equity markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(2), pages 479-512, November.
    21. Fishman, Michael J & Hagerty, Kathleen M, 1995. "The Mandatory Disclosure of Trades and Market Liquidity," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(3), pages 637-76.
    22. Mark Grinblatt & Sheridan Titman, . "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 23-88, Wharton School Rodney L. White Center for Financial Research.
    23. 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.
    24. Andy Puckett & Xuemin (Sterling) Yan, 2011. "The Interim Trading Skills of Institutional Investors," Journal of Finance, American Finance Association, American Finance Association, vol. 66(2), pages 601-633, 04.
    25. 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.
    26. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 223-249, December.
    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. Diamond, Douglas W & Verrecchia, Robert E, 1991. " Disclosure, Liquidity, and the Cost of Capital," Journal of Finance, American Finance Association, American Finance Association, vol. 46(4), pages 1325-59, September.
    29. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
    30. Chen, Xuanjuan & Yao, Tong & Yu, Tong, 2007. "Prudent man or agency problem? On the performance of insurance mutual funds," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 16(2), pages 175-203, April.
    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. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, Elsevier, vol. 5(1), pages 31-56, January.
    33. Huddart, Steven & Hughes, John S & Levine, Carolyn B, 2001. "Public Disclosure and Dissimulation of Insider Trades," Econometrica, Econometric Society, Econometric Society, vol. 69(3), pages 665-81, May.
    34. Russ Wermers & Tong Yao & Jane Zhao, 2012. "Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 25(12), pages 3490-3529.
    35. 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.
    36. John, Kose & Narayanan, Ranga, 1997. "Market Manipulation and the Role of Insider Trading Regulations," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 70(2), pages 217-47, April.
    37. 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.
    38. 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.
    39. Admati, Anat R & Pfleiderer, Paul, 2000. "Forcing Firms to Talk: Financial Disclosure Regulation and Externalities," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(3), pages 479-519.
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    Cited by:
    1. Boon, Ling-Ni & Brière, Marie & Gresse, Carole & Werker, Bas J. M., 2013. "Regulatory Environment and Pension Investment Performance," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/13629, Paris Dauphine University.

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