@techreport{Agarwal2011Window,
abstract = {This paper introduces two measures to investigate potential window-dressing behavior among mutual fund managers. We show that unskilled managers that perform poorly are more likely to window dress by strategically purchasing winner stocks and selling loser stocks near quarter ends. Further, funds with higher expense ratios and greater portfolio turnover are associated with more window dressing. We also find that funds involved in window dressing perform poorly in the following quarter. Given these adverse effects, we demonstrate how window dressing can exist in equilibrium. Current reporting requirements allow managers up to 60 days' delay to report end of quarter portfolio holdings. We show how window-dressing managers can benefit from incrementally higher fund flows if good performance is realized during the delay period. However, we find that poor performance results in incrementally lower flows than that observed for non-window dressing managers.},
address = {Cologne},
author = {Vikas Agarwal and Gerald D. Gay and Leng Ling},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G11; G20; 330; Mutual funds; Window dressing; Portfolio disclosure; Fund flows},
language = {eng},
note = {Is replaced by the following version: http://hdl.handle.net/10419/70128},
number = {11-07},
publisher = {Centre for Financial Research},
title = {Window dressing in mutual funds},
type = {CFR working paper},
url = {http://hdl.handle.net/10419/45540},
year = {2011}
}
