Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/327047 
Year of Publication: 
2024
Citation: 
[Journal:] BRQ Business Research Quarterly [ISSN:] 2340-9444 [Volume:] 27 [Issue:] 3 [Year:] 2024 [Pages:] 324-345
Publisher: 
Sage Publishing, London
Abstract: 
Using a unique database that includes publicly disclosed fund holdings at the end of the quarter as well as the holdings in all non-publicly disclosed months, we found that some funds could alter their portfolios in publicly disclosed months to artificially increase their Active Share scores and consequently appear more active and take advantage of the positive relationship between Active Share and money flows. We show how, consistent with non-informed trades, these funds erode their future performance. However, these funds reach their objective of increasing future money flows. Moreover, we find that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share scores and low tracking errors have the highest levels of Active Share window dressing and the worst future returns. However, compared with less active funds, they are able to capture higher money flows.
Subjects: 
Active Share
monthly fund portfolio holdings
tracking error
window dressing
JEL: 
G23
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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