IDEAS home Printed from https://ideas.repec.org/a/bla/acctfi/v57y2017ip101-116.html
   My bibliography  Save this article

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

Author

Listed:
  • Zhe Chen
  • David R. Gallagher
  • Adrian D. Lee

Abstract

No abstract is available for this item.

Suggested Citation

  • Zhe Chen & David R. Gallagher & Adrian D. Lee, 2017. "Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 101-116, April.
    • Handle: RePEc:bla:acctfi:v:57:y:2017:i::p:101-116
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/acfi.12214
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Wendy Beekes & Philip Brown & Qiyu Zhang & Steven Cahan, 2015. "Corporate governance and the informativeness of disclosures in Australia: a re-examination," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(4), pages 931-963, December.
    2. Vikas Agarwal & Kevin A. Mullally & Yuehua Tang & Baozhong Yang, 2015. "Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 70(6), pages 2733-2776, December.
    3. Elton, Edwin J. & Gruber, Martin J. & Blake, Christopher R., 2011. "Holdings Data, Security Returns, and the Selection of Superior Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(2), pages 341-367, April.
    4. Daniel, Kent, et al, 1997. "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks," Journal of Finance, American Finance Association, vol. 52(3), pages 1035-1058, July.
    5. Nicolas P. B. Bollen & Jeffrey A. Busse, 2001. "On the Timing Ability of Mutual Fund Managers," Journal of Finance, American Finance Association, vol. 56(3), pages 1075-1094, June.
    6. Pinnuck, Matt, 2003. "An Examination of the Performance of the Trades and Stock Holdings of Fund Managers: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 811-828, December.
    7. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008. "Unobserved Actions of Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2379-2416, November.
    8. Verbeek, Marno & Wang, Yu, 2013. "Better than the original? The relative success of copycat funds," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3454-3471.
    9. 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, vol. 47(2), pages 515-541, October.
    10. S. P. Kothari & Jerold B. Warner, 2001. "Evaluating Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 56(5), pages 1985-2010, October.
    11. Russ Wermers & Tong Yao & Jane Zhao, 2012. "Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3490-3529.
    12. Larelle Chapple & Thu Phuong Truong & Steven Cahan, 2015. "Continuous disclosure compliance: does corporate governance matter?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(4), pages 965-988, December.
    13. Gang Hu & R. David McLean & Jeffrey Pontiff & Qinghai Wang, 2014. "The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades," The Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1593-1614.
    14. Sugato Bhattacharyya & Vikram Nanda, 2013. "Portfolio Pumping, Trading Activity and Fund Performance," Review of Finance, European Finance Association, vol. 17(3), pages 885-919.
    15. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2008. "Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 761-781, December.
    16. repec:oup:rfinst:v:25:y::i:12:p:3490-3529 is not listed on IDEAS
    17. Andy Puckett & Xuemin (Sterling) Yan, 2011. "The Interim Trading Skills of Institutional Investors," Journal of Finance, American Finance Association, vol. 66(2), pages 601-633, April.
    18. Agarwal, Vikas & Mullally, Kevin & Tang, Yuehua & Yang, Baozhong, 2013. "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers 13-04, University of Cologne, Centre for Financial Research (CFR).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gregory-Allen, Russell & Balli, Hatice Ozer & Thompson, Kathleen, 2019. "The impact of portfolio holdings disclosure on fund returns," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Agarwal, Vikas & Mullally, Kevin & Tang, Yuehua & Yang, Baozhong, 2013. "Mandatory portfolio disclosure, stock liquidity, and mutual fund performance," CFR Working Papers 13-04, University of Cologne, Centre for Financial Research (CFR).
    2. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2014. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.3], University of Cologne, Centre for Financial Research (CFR).
    3. Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018. "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, vol. 52(C), pages 143-167.
    4. Scott Bennett & David R Gallagher & Graham Harman & Geoffrey J Warren & Lihui Xi, 2016. "Alpha generation in portfolio management: Long-run Australian equity fund evidence," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 107-140, February.
    5. Vikas Agarwal & Kevin A. Mullally & Yuehua Tang & Baozhong Yang, 2015. "Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 70(6), pages 2733-2776, December.
    6. Andrew Koch, 2017. "Herd Behavior and Mutual Fund Performance," Management Science, INFORMS, vol. 63(11), pages 3849-3873, November.
    7. Qifei Zhu, 2020. "The Missing New Funds," Management Science, INFORMS, vol. 66(3), pages 1193-1204, March.
    8. Ferson, Wayne & Mo, Haitao, 2016. "Performance measurement with selectivity, market and volatility timing," Journal of Financial Economics, Elsevier, vol. 121(1), pages 93-110.
    9. Wang, Yaping & Paek, Miyoun & Ko, Kwangsoo, 2016. "Incubation and copying equity funds in China," Emerging Markets Review, Elsevier, vol. 28(C), pages 28-43.
    10. Jon A. Fulkerson, 2013. "Is Timing Everything? The Value of Mutual Fund Manager Trades," Financial Management, Financial Management Association International, vol. 42(2), pages 243-261, June.
    11. Shi, Zhen, 2017. "The impact of portfolio disclosure on hedge fund performance," Journal of Financial Economics, Elsevier, vol. 126(1), pages 36-53.
    12. Hung, Pi-Hsia & Lien, Donald & Kuo, Ming-Sin, 2020. "Window dressing in equity mutual funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 338-354.
    13. Cai, Yu & Lau, Sie Ting, 2015. "Informed trading around earnings and mutual fund alphas," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 168-180.
    14. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2009. "The Value of Alpha Forecasts in Portfolio Construction," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 97-121, June.
    15. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
    16. Lan, Chunhua & Moneta, Fabio & Wermers, Russ, 2018. "Holding Horizon: A New Measure of Active Investment Management," CFR Working Papers 15-06, University of Cologne, Centre for Financial Research (CFR), revised 2018.
    17. Sean Shun Cao & Kai Du & Baozhong Yang & Alan L. Zhang, 2021. "Copycat Skills and Disclosure Costs: Evidence from Peer Companies’ Digital Footprints," Journal of Accounting Research, Wiley Blackwell, vol. 59(4), pages 1261-1302, September.
    18. Pi‐Hsia Hung & Donald Lien & Yun‐Ju Chien, 2020. "Portfolio concentration and fund manager performance," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 423-451, July.
    19. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
    20. Carole Comerton‐Forde & David R. Gallagher & Joyce Lai & Terry Walter, 2011. "Broker recommendations and Australian small‐cap equity fund management," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(4), pages 893-922, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:acctfi:v:57:y:2017:i::p:101-116. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/aaanzea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.