Universität zu Köln

Agarwal, Vikas ORCID: 0000-0002-9099-8542, Mullally, Kevin A., Tang, Yuehua ORCID: 0000-0001-7288-2995 and Yang, Baozhong ORCID: 0000-0002-7804-7621 (2015). Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance. J. Financ., 70 (6). S. 2733 - 2777. HOBOKEN: WILEY-BLACKWELL. ISSN 1540-6261

Full text not available from this repository.

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.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Agarwal, Vikas UNSPECIFIED orcid.org/0000-0002-9099-8542 UNSPECIFIED Mullally, Kevin A. UNSPECIFIED UNSPECIFIED UNSPECIFIED Tang, Yuehua UNSPECIFIED orcid.org/0000-0001-7288-2995 UNSPECIFIED Yang, Baozhong UNSPECIFIED orcid.org/0000-0002-7804-7621 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-385641
DOI:	10.1111/jofi.12245
Journal or Publication Title:	J. Financ.
Volume:	70
Number:	6
Page Range:	S. 2733 - 2777
Date:	2015
Publisher:	WILEY-BLACKWELL
Place of Publication:	HOBOKEN
ISSN:	1540-6261
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language MARKET LIQUIDITY; RETURNS; MANAGERS; HOLDINGS; TRADES; INFORMATION; BENCHMARKS; LINKAGES; INDUSTRY; SKILLS Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/38564