Abstract

http://ssrn.com/abstract=309177
 
 

Citations



 


 



Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds


Mark M. Carhart


Kepos Capital LP

Adam V. Reed


University of North Carolina Kenan-Flagler Business School

Ron Kaniel


University of Rochester - Simon Business School; CEPR

David K. Musto


University of Pennsylvania - Finance Department


The Journal of Finance, Vol. 57, pp. 661-693, 2002

Abstract:     
We present evidence that fund managers inflate quarter-end portfolio prices with last-minute purchases of stocks already held. The magnitude of price inflation ranges from 0.5 percent per year for large-cap funds to well over 2 percent for small-cap funds. We find that the cross section of inflation matches the cross section of incentives from the flow/performance relation, that a surge of trading in the quarter's last minutes coincides with a surge in equity prices, and that the inflation is greatest for the stocks held by funds with the most incentive to inflate, controlling for the stocks' size and performance.

Accepted Paper Series





Not Available For Download

Date posted: November 19, 2002  

Suggested Citation

Carhart, Mark M. and Reed, Adam V. and Kaniel, Ron and Musto, David K., Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds. The Journal of Finance, Vol. 57, pp. 661-693, 2002. Available at SSRN: http://ssrn.com/abstract=309177

Contact Information

Mark M. Carhart (Contact Author)
Kepos Capital LP ( email )
*** temporary contact info***
666 Fifth Avenue, 37th Floor
New York, NY 10103
United States
(212) 520-7881 (Phone)
(212) 520-7884 (Fax)
HOME PAGE: http://www.keposcapital.com
Adam V. Reed
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Ron Kaniel
University of Rochester - Simon Business School ( email )
Rochester, NY 14627
United States
HOME PAGE: http://rkaniel.simon.rochester.edu
CEPR ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
David K. Musto
University of Pennsylvania - Finance Department ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

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