NAV Inflation and Impact on Performance in China

42 Pages Posted: 10 Mar 2017 Last revised: 11 Jan 2019

See all articles by Mark B. Shackleton

Mark B. Shackleton

Lancaster University - Department of Accounting and Finance

Jiali Yan

University of Exeter Business School

Chelsea Yaqiong Yao

Lancaster University - Lancaster University Management School; New York University (NYU) - Leonard N. Stern School of Business

Date Written: November 29, 2018

Abstract

Our study is among the first to examine the net asset value (NAV) inflation practices of fund managers in China, finding that equity funds bolster their portfolios at quarter-end and especially year-end. In support of the NAV inflation hypothesis in China, we further document the following: (1) NAV inflation is more profound for the worst-performing fund managers and (2) the stocks in which fund managers hold larger stakes exhibit a more marked pattern of price inflation around quarter- and year-ends than do other stocks. We also find that closed-end funds in China engage in NAV inflation at quarter- and year-ends.

Keywords: Mutual funds, NAV inflation, Chinese market, closed-end funds

JEL Classification: G11, G12, G23

Suggested Citation

Shackleton, Mark B. and Yan, Jiali and Yao, Yaqiong, NAV Inflation and Impact on Performance in China (November 29, 2018). Available at SSRN: https://ssrn.com/abstract=2929753 or http://dx.doi.org/10.2139/ssrn.2929753

Mark B. Shackleton

Lancaster University - Department of Accounting and Finance ( email )

The Management School
Lancaster LA1 4YX
United Kingdom
44 1524 594131 (Phone)
44 1524 847321 (Fax)

Jiali Yan

University of Exeter Business School ( email )

Streatham Court
Xfi Building, Rennes Dr.
Exeter, EX4 4JH
United Kingdom

Yaqiong Yao (Contact Author)

Lancaster University - Lancaster University Management School ( email )

Department of Accounting and Finance
Lancaster University Management School
Lancaster, LA1 4YX
United Kingdom

HOME PAGE: http://www.chelseayao.com

New York University (NYU) - Leonard N. Stern School of Business ( email )

Stern School of Business
44 West 4th Street
New York, NY NY 10012
United States

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