Learning for The Tape : Evidence of Gaming Behaviour in Equity Mutual Funds  

Oleh:

Reed, Adam V. ; Musto, David K. ; Kaniel, Ron ; Carhart, Mark M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 661-694.
Topik: LEARNING; studies; stock prices; portfolio performance; portfolio management; mutual funds; manipulation; regression analysis
Fulltext: p 661.pdf (505.45KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We present evidence that fund managers inflate quarter - end portfolio prices with last - minute purchases of stocks already held. The magnitude of price inflation ranges from 0,5 percent per year for large cap funds to well over 2 percent for small - cap funds. We find that the cross section of inflation matches the cross section of incentives form the flow / performance relation, that a surge of trading in the quarter's last minutes coincides with a surge in equity prices, and that the inflation is greatest for the stocks held by funds with the most incentive to inflate, controlling for the stocks' size and performance.

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