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Investment Decisions Depend on Portfolio Disclosures

  • David K. Musto

    (Wharton School, University of Pennsylvania)

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    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 makes possible 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. Cross-sectional comparisons locate the most intense rebalancing in the worst recent performers. Copyright The American Finance Association 1999.

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    Article provided by American Finance Association in its journal The Journal of Finance.

    Volume (Year): 54 (1999)
    Issue (Month): 3 (06)
    Pages: 935-952

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    Handle: RePEc:bla:jfinan:v:54:y:1999:i:3:p:935-952
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