Abstract

http://ssrn.com/abstract=1344604
 
 

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The Rise and Fall of Portfolio Pumping Among U.S. Mutual Funds


Truong X. Duong


Iowa State University - Department of Accounting and Finance

Felix Meschke


University of Kansas - Finance Area

August 2015


Abstract:     
Fund managers have incentives to inflate their quarterly performance by aggressively buying stocks they already own. Using intraday measures of pumping we document that sharply increased regulatory attention in late 2000 and improved market liquidity following the implementation of Regulation NMS in 2007 are associated with fewer last-minute purchases by institutions, lower price spikes in mutual fund NAVs, and a weakened link between fund holdings and stock return reversals at period ends. Our findings suggest that portfolio pumping among U.S. mutual funds was widespread until regulatory scrutiny and heightened competition drastically diminished its prevalence.

Number of Pages in PDF File: 41

Keywords: mutual funds, delegated portfolio management, portfolio pumping, regulation, Securities and Exchange Commission, SEC, Regulation NMS

JEL Classification: G18, G23, G28, K22


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Date posted: February 17, 2009 ; Last revised: August 19, 2015

Suggested Citation

Duong, Truong X. and Meschke, Felix, The Rise and Fall of Portfolio Pumping Among U.S. Mutual Funds (August 2015). Available at SSRN: http://ssrn.com/abstract=1344604 or http://dx.doi.org/10.2139/ssrn.1344604

Contact Information

Truong X. Duong
Iowa State University - Department of Accounting and Finance ( email )
College of Business
Ames, IA 50011-2063
United States
Felix Meschke (Contact Author)
University of Kansas - Finance Area ( email )
1300 Sunnyside Avenue
Lawrence, KS 66045
United States
(347) 433-5495 (Phone)
HOME PAGE: http://www.business.ku.edu/faculty/meschke-felix/
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