Delay Portfolio Disclosure and its Effect on Mutual Funds' Performance 公开

Bai, Eric Augustus (2017)

Permanent URL: https://etd.library.emory.edu/concern/etds/j67314445?locale=zh
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Abstract

This paper investigates the effect of delaying mandatory portfolio disclosure on mutual fund's performance. Since 2004, mutual funds were required to file Form N-Q and Form N-CSR at the end of every quarter. However, funds have the option of delaying revealing their portfolio for up to sixty days. My results showed positive relationship between delay and fund return, but insignificant coefficients for the estimated model. I conclude that the market is efficient enough so as to make the delay variable negligible in determining fund return.


Table of Contents

I. Introduction 1

II. Literature Review 4

III. Contributions 7

IV. Methodology 8

V. Empirical Results 16

VI. Conclusion 19

VII. References 21

VIII. Figure 1 - Form N-Q example 22

IX. Figure 2 - Delay variable distribution 23

X. Table 1 - Summary statistics 24

XI. Table 2 - Regression on Delay 25

XII. Table 3 - Quintile Regression 26

XIII. Table 4 - Summary statistics at portfolio level 27

XIV. Table 5 - Portfolio level quintile regression 28

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