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The Effect of the Frequency of Holdings Data on Conclusions About Mutual Fund Management Behavior

Edwin J. Elton
New York University - Department of Finance

Martin J. Gruber
New York University - Department of Finance

Christopher R. Blake
Fordham University - Graduate School of Business Administration

Yoel Krasny
New York University - Leonard N. Stern School of Business

Sadi Ozelge
New York University - Leonard N. Stern School of Business


June 29, 2009


Abstract:     
A number of articles in financial economics have used quarterly or semi-annual mutual fund holdings data to test hypotheses about investment manager behavior. This article reexamines four well-known hypotheses in finance to determine whether the results of prior tests of these hypotheses remain valid when higher frequency (monthly) holdings data are employed. The areas examined are: momentum trading, tax-motivated trading, window dressing, and tournament behavior. We find that the use of monthly holdings data rather than quarterly holdings data or, in the case of tournament behavior, holdings data rather than monthly return data, change, and in some cases reverse, previous results. This occurs because monthly holdings data capture a large number of trades missed by quarterly data (18.5% of the trades) and permit a more precise estimation of the timing of trades.

Keywords: mutual funds, holdings, momentum, tournament, window dressing, tax effects

JEL Classifications: G11, G23, H22

Working Paper Series

Date posted: August 03, 2006 ; Last revised: November 04, 2009

Suggested Citation

Elton, Edwin J., Gruber, Martin J., Blake, Christopher R., Krasny, Yoel and Ozelge, Sadi, The Effect of the Frequency of Holdings Data on Conclusions About Mutual Fund Management Behavior (June 29, 2009). Available at SSRN: http://ssrn.com/abstract=920840


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Contact Information

Edwin J. Elton (Contact Author)
New York University - Department of Finance ( email )
44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0361 (Phone)
212-995-4233 (Fax)
Christopher R. Blake
Fordham University - Graduate School of Business Administration ( email )
113 West 60th Street
Lowenstein Building
New York, NY 10023
United States
212-636-6750 (Phone)
Martin J. Gruber
New York University - Department of Finance ( email )
44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0333 (Phone)
212-995-4233 (Fax)
Yoel Krasny
New York University - Leonard N. Stern School of Business ( email )
44 West 4th Street
New York, NY 10012
United States
Sadi Ozelge
New York University - Leonard N. Stern School of Business ( email )
44 West 4th Street
New York, NY 10012
United States
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