Strategic Timing in Closed-End Fund Portfolio Holdings Disclosure

51 Pages Posted: 22 Mar 2019 Last revised: 29 Mar 2019

See all articles by Theodosis L. Kallenos

Theodosis L. Kallenos

University of Cyprus-School of Economics and Management- Department of Accounting and Finance

David A. Lesmond

Tulane University - A.B. Freeman School of Business

George Nishiotis

University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance

Date Written: March 1, 2019

Abstract

Using a sample of equity closed-end funds, we document significant portfolio holdings disclosure valuation effects and strategic disclosure timing by portfolio managers. An event study analysis reveals statistically significant positive (negative) abnormal returns associated with early (late) disclosure. We find that the returns of a long-short arbitrage strategy portfolio become statistically significant exactly when the implementation of such a strategy is facilitated by the timely disclosure of portfolio holdings. Our findings support the argument that managers of funds trading at high discounts are more likely to disclose earlier in order to reduce discounts and protect themselves from activist investor attacks. This is despite the documented strong motives for late disclosure stemming from copycatting and front running threats shared with open-end fund managers.

Keywords: Closed-End Funds, Portfolio Holdings Disclosure, Arbitrage, Valuation Effects, Front Running, Copycatting

JEL Classification: G14, G18, G12, G23

Suggested Citation

Kallenos, Theodosis L. and Lesmond, David A. and Nishiotis, George P., Strategic Timing in Closed-End Fund Portfolio Holdings Disclosure (March 1, 2019). Available at SSRN: https://ssrn.com/abstract=3345101 or http://dx.doi.org/10.2139/ssrn.3345101

Theodosis L. Kallenos

University of Cyprus-School of Economics and Management- Department of Accounting and Finance ( email )

1 University Avenue
P.O. Box 20537
Nicosia, CY-1678
Cyprus
+35722893628 (Phone)
+35722895475 (Fax)

David A. Lesmond

Tulane University - A.B. Freeman School of Business ( email )

7 McAlister Drive
511 Goldring-Woldenberg Hall
New Orleans, LA 70118
United States
504-865-5665 (Phone)
504-865-6751 (Fax)

George P. Nishiotis (Contact Author)

University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance ( email )

Cyprus

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