Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97693
Authors: 
Agarwal, Vikas
Gay, Gerald D.
Ling, Leng
Year of Publication: 
2014
Series/Report no.: 
CFR Working Paper 11-07 [rev.3]
Abstract: 
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit from higher (lower) investor flows as compared to non-window dressers. Window dressers also have poor past performance, possess little skill, and incur high portfolio turnover and trade costs, characteristics which in turn result in worse future performance.
Subjects: 
Mutual funds
Window dressing
Portfolio disclosure
Fund flows
JEL: 
G11
G20
Document Type: 
Working Paper

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