Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure

16 Pages Posted: 5 Apr 2017

See all articles by Zhe Chen

Zhe Chen

Acadian Asset Management; University of New South Wales (UNSW); Centre for International Finance and Regulation (CIFR)

David R. Gallagher

Rozetta Institute

Adrian D. Lee

Deakin University - Department of Finance (Property and Real Estate); Financial Research Network (FIRN)

Multiple version iconThere are 2 versions of this paper

Date Written: April 2017

Abstract

This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top‐quartile fund managers, with longer inter‐reporting intervals tending to result in greater differences. ‘Copycat funds’ following the disclosed holdings of top‐tier managers significantly underperform the underlying fund, while copycats following bottom‐tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.

Keywords: Managed funds, Portfolio holdings disclosure, Copycat funds

Suggested Citation

Chen, Zhe and Gallagher, David R. and Lee, Adrian D., Testing the Effect of Portfolio Holdings Disclosure in an Environment Absent of Mandatory Disclosure (April 2017). Accounting & Finance, Vol. 57, pp. 101-116, 2017. Available at SSRN: https://ssrn.com/abstract=2945723 or http://dx.doi.org/10.1111/acfi.12214

Zhe Chen (Contact Author)

Acadian Asset Management ( email )

260 Franklin Street
Boston, MA 02110
United States

University of New South Wales (UNSW)

Kensington
High St
Sydney, NSW 2052
Australia

Centre for International Finance and Regulation (CIFR) ( email )

Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

David R. Gallagher

Rozetta Institute ( email )

Sydney

Adrian D. Lee

Deakin University - Department of Finance (Property and Real Estate) ( email )

70 Elgar Road
Melbourne, VIC 3125
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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