Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance
We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, es...
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| Vydáno v: | The Journal of finance (New York) Ročník 70; číslo 6; s. 2733 - 2776 |
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| Hlavní autoři: | , , , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
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Cambridge
Blackwell Publishing Ltd
01.12.2015
Wiley Periodicals,Inc Blackwell Publishers Inc |
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| ISSN: | 0022-1082, 1540-6261 |
| On-line přístup: | Získat plný text |
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| Abstract | We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors. |
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| AbstractList | ABSTRACT
We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors. We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors. We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with disclosure and test its predictions using the May 2004 SEC regulation requiring more frequent disclosure. Stocks with higher fund ownership, especially those held by more informed funds or subject to greater information asymmetry, experience larger increases in liquidity after the regulation change. More informed funds, especially those holding stocks with greater information asymmetry, experience greater performance deterioration after the regulation change. Overall, mandatory disclosure improves stock liquidity but imposes costs on informed investors. [web URL: http://onlinelibrary.wiley.com/doi/10.1111/jofi.12245/full] |
| Author | TANG, YUEHUA MULLALLY, KEVIN A. YANG, BAOZHONG AGARWAL, VIKAS |
| Author_xml | – sequence: 1 givenname: VIKAS surname: AGARWAL fullname: AGARWAL, VIKAS – sequence: 2 givenname: KEVIN A. surname: MULLALLY fullname: MULLALLY, KEVIN A. – sequence: 3 givenname: YUEHUA surname: TANG fullname: TANG, YUEHUA – sequence: 4 givenname: BAOZHONG surname: YANG fullname: YANG, BAOZHONG |
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| Copyright | 2015 American Finance Association 2015 the American Finance Association Copyright Blackwell Publishers Inc. Dec 2015 |
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| Notes | ark:/67375/WNG-NLRZVL0T-K istex:F23FC5D088C55610B8DE5552D5587E0AB8268050 ArticleID:JOFI12245 . Agarwal is with the J. Mack Robinson College of Business at Georgia State University and the Center for Financial Research at University of Cologne. Mullally and yang are with the J. Mack Robinson College at Georgia State University. Tang is with the Lee Kong Chian School of Business at Singapore Management University. This paper has benefited from comments and suggestions from two anonymous referees and Ken Singleton (the Editor), Robert Bartlett, Conrad Ciccotello, Chris Clifford, Sevinc Cukurova, Gerry Gay, Thomas George, Edith Ginglinger, Itay Goldstein, Christian Gourieroux, Carole Gresse, Alan Huang, Jiekun Huang, Wulf Kaal, Jayant Kale, Madhu Kalimpalli, Matti Keloharju, Kate Litvak, Pedro Matos, Michelle Paul, Blake Phillips, Sugata Ray, Adam Reed, Christopher Schwarz, Clemens Sialm, Laura Starks, Avanidhar Subrahmanyam, Craig Tyle, Mathijs van Dijk, Jin Wang, Kelsey Wei, Russ Wermers, and seminar participants at the 2013 Conference for Empirical Legal Studies, the 2013 FMA Annual Meetings, the ICI/CFP Academic/Practitioner Conference at the University of Maryland, the 6th Professional Asset Management Conference, Aalto University, Georgia State University, Louisiana State University, Universitas Negeri Jakarta, University of Paris‐Dauphine, University of Sydney, University of Technology Sydney, Universitas Tarumanagara, University of Waterloo, and Wilfred Laurier University. We are especially grateful to Zhi Da, Pengjie Gao, and Ravi Jagannathan for data on liquidity‐ and characteristics‐adjusted mutual fund performance; Jianfeng Hu for TAQ order imbalance data; Lei Jiang, Mahendrarajah (Nimal) Nimalendran, and Sugata Ray for data on TAQ liquidity measures; and Christopher Schwarz for data on mutual fund holdings. We would also like to thank Muneem Ahad and Ashutosh Tyagi for excellent research assistance. Kevin Mullally thanks the Center for Economic Analysis of Risk (CEAR) at Georgia State University for its financial support. Yuehua Tang acknowledges the D.S. Lee Foundation Fellowship from Singapore Management University. None of the authors of this article have conflicts of interest as defined by the policy of The Journal of Finance SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 ObjectType-Article-1 ObjectType-Feature-2 |
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| Snippet | We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed trading with... ABSTRACT We examine the impact of mandatory portfolio disclosure by mutual funds on stock liquidity and fund performance. We develop a model of informed... |
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| SubjectTerms | Asymmetric information Deterioration Disclosure Internet Investors Liquidity Mutual funds Ownership Portfolios Regulation SEC regulations Stocks Studies Trading |
| Title | Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance |
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