Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/97694 
Year of Publication: 
2014
Series/Report no.: 
CFR Working Paper No. 13-04 [rev.]
Publisher: 
University of Cologne, Centre for Financial Research (CFR), Cologne
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 SEC regulation in May 2004 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.
Document Type: 
Working Paper

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