Journal of Banking & Finance · Available online 5 January 2016

更加频繁的投资组合披露对共同基金表现的影响

作者：Sitikantha Parida(Clark University, Graduate School of Management, Worcester, MA, USA), Terence Teo(Maybank Kim Eng Securities Pte. Ltd, Singapore)

摘要：本文分析了更为频繁的投资组合披露对共同基金表现的影响。自2004年以来，美国证券交易委员会（SEC）要求所有美国的共同基金从半年之前按季度对其投资组合进行披露。监管的这种变化为我们研究披露频率对共同基金表现的影响提供了一个自然的环境。在政策变化之前，我们发现成功的半年度基金业绩每个月要比成功的季度基金业绩高17-20个基点。2004年以后，它们的业绩下降，同时不再优于成功的季度基金。而那些持有非流动资产的半年度基金的业绩下降更高。这些结果支持了我们的假设，即更频繁披露的基金，特别是那些持有非流动资产的基金，更容易受到提前交易活动的影响。补充证据表明，基于公开披露的提前交易策略的盈利能力随着投资组合披露频率的增加而增加。

关键词：投资组合披露频率，共同基金表现，提前交易，搭便车，双重差分检验，非流动基金

The Impact of More Frequent Portfolio Disclosure on Mutual Fund Performance

Sitikantha Parida(Clark University, Graduate School of Management, Worcester, MA, USA), Terence Teo(Maybank Kim Eng Securities Pte. Ltd, Singapore),

ABSTRACT

This paper analyzes the impact of more frequent portfolio disclosures on performance of mutual funds. Since 2004, SEC requires all U.S. mutual funds to disclose their portfolio holdings on a quarterly basis from semi-annual previously. This change in regulation provides a natural setting to study the impact of frequency of disclosure on performance of mutual funds. Prior to the policy change, we find that successful semi-annual funds outperform successful quarterly funds by 17-20 basis points a month. After 2004, their performance goes down and they no longer outperform successful quarterly funds. This reduction in performance is higher for semi-annual funds holding illiquid assets. These results support our hypothesis that the performance of funds with more frequent disclosure, particularly of those holding illiquid assets, suffer more from front running activities. We also find complementary evidence that the profitability of a hypothetical front running strategy based on public disclosures goes up with the frequency of portfolio disclosures.

Keywords: Portfolio Disclosure Frequency, Mutual Fund Performance, Front Running, Free Riding, Difference-in-Difference Test, Illiquid Funds

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426615000266

翻译：贾梦悦