Download This PaperNAV Inflation and Impact on Performance in China
42 Pages Posted: 10 Mar 2017 Last revised: 11 Jan 2019
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
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