Copycat funds: information disclosure regulation and the returns to active management in the mutual fund industry
Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values. Disclosu...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2001
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
8653 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values. Disclosure provides public access to information on the assets that the fund manager views as undervalued. This paper tries to quantify this potential cost of disclosure by testing whether 'copycat' mutual funds, funds that purchase the same assets as actively-managed funds as soon as those asset holdings are disclosed, can earn returns that are similar to those of the actively-managed funds. Copycat funds do not incur the research expenses associated with the actively-managed funds that they are mimicking opportunity to invest in assets that managers identify as positive return opportunities between disclosure dates. Our results for a limited sample of high expense funds in the 1990s suggest that while returns before expenses are significantly higher for the underlying actively managed funds relative to the copycat funds, after expenses copycat funds earn statistically indistinguishable, and possibly higher, returns than the underlying actively managed funds. These findings contribute to the policy debate on the optimal level and frequency of fund disclosure |
| Beschreibung: | 31 S. |
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| illustrated | Not Illustrated |
| index_date | 2024-07-02T22:02:39Z |
| indexdate | 2024-07-09T21:21:26Z |
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| publishDate | 2001 |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Myers, Mary Margaret Verfasser (DE-588)134024036 aut Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry Mary Margaret Myers ... Cambridge, Mass. National Bureau of Economic Research 2001 31 S. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 8653 Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values. Disclosure provides public access to information on the assets that the fund manager views as undervalued. This paper tries to quantify this potential cost of disclosure by testing whether 'copycat' mutual funds, funds that purchase the same assets as actively-managed funds as soon as those asset holdings are disclosed, can earn returns that are similar to those of the actively-managed funds. Copycat funds do not incur the research expenses associated with the actively-managed funds that they are mimicking opportunity to invest in assets that managers identify as positive return opportunities between disclosure dates. Our results for a limited sample of high expense funds in the 1990s suggest that while returns before expenses are significantly higher for the underlying actively managed funds relative to the copycat funds, after expenses copycat funds earn statistically indistinguishable, and possibly higher, returns than the underlying actively managed funds. These findings contribute to the policy debate on the optimal level and frequency of fund disclosure Recht Disclosure in accounting Law and legislation United States Mutual funds Law and legislation United States Rate of return United States USA Poterba, James M. 1958- Sonstige (DE-588)124526918 oth Shackelford, Douglas A. Sonstige (DE-588)12453063X oth Shoven, John B. 1947- Sonstige (DE-588)129516414 oth Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 8653 (DE-604)BV002801238 8653 http://papers.nber.org/papers/w8653.pdf kostenfrei Volltext |
| spellingShingle | Myers, Mary Margaret Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Recht Disclosure in accounting Law and legislation United States Mutual funds Law and legislation United States Rate of return United States |
| title | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry |
| title_auth | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry |
| title_exact_search | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry |
| title_exact_search_txtP | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry |
| title_full | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry Mary Margaret Myers ... |
| title_fullStr | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry Mary Margaret Myers ... |
| title_full_unstemmed | Copycat funds information disclosure regulation and the returns to active management in the mutual fund industry Mary Margaret Myers ... |
| title_short | Copycat funds |
| title_sort | copycat funds information disclosure regulation and the returns to active management in the mutual fund industry |
| title_sub | information disclosure regulation and the returns to active management in the mutual fund industry |
| topic | Recht Disclosure in accounting Law and legislation United States Mutual funds Law and legislation United States Rate of return United States |
| topic_facet | Recht Disclosure in accounting Law and legislation United States Mutual funds Law and legislation United States Rate of return United States USA |
| url | http://papers.nber.org/papers/w8653.pdf |
| volume_link | (DE-604)BV002801238 |
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