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dc.contributor.authorAgarwal, Vikasen_US
dc.contributor.authorGay, Gerald D.en_US
dc.contributor.authorLing, Lengen_US; end=2013-02-13-
dc.description.abstractThis 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.en_US
dc.publisher|aCentre for Financial Research |cCologneen_US
dc.relation.ispartofseries|aCFR working paper |x11-07en_US
dc.subject.keywordMutual fundsen_US
dc.subject.keywordWindow dressingen_US
dc.subject.keywordPortfolio disclosureen_US
dc.subject.keywordFund flowsen_US
dc.titleWindow dressing in mutual fundsen_US
dc.typeWorking Paperen_US

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