Window dressing in the Active Share scores in publicly reported portfolios

IF 3.8 4区 管理学 Q2 BUSINESS
Laura Andreu, Carlos Forner, J. L. Sarto
{"title":"Window dressing in the Active Share scores in publicly reported portfolios","authors":"Laura Andreu, Carlos Forner, J. L. Sarto","doi":"10.1177/23409444211024645","DOIUrl":null,"url":null,"abstract":"Using a unique database that includes publicly disclosed fund holdings at the end of the quarter as well as the holdings in all non-publicly disclosed months, we found that some funds could alter their portfolios in publicly disclosed months to artificially increase their Active Share scores and consequently appear more active and take advantage of the positive relationship between Active Share and money flows. We show how, consistent with non-informed trades, these funds erode their future performance. However, these funds reach their objective of increasing future money flows. Moreover, we find that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share scores and low tracking errors have the highest levels of Active Share window dressing and the worst future returns. However, compared with less active funds, they are able to capture higher money flows. JEL CLASSIFICATION G23; G11","PeriodicalId":46891,"journal":{"name":"Brq-Business Research Quarterly","volume":null,"pages":null},"PeriodicalIF":3.8000,"publicationDate":"2021-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Brq-Business Research Quarterly","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1177/23409444211024645","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS","Score":null,"Total":0}
引用次数: 0

Abstract

Using a unique database that includes publicly disclosed fund holdings at the end of the quarter as well as the holdings in all non-publicly disclosed months, we found that some funds could alter their portfolios in publicly disclosed months to artificially increase their Active Share scores and consequently appear more active and take advantage of the positive relationship between Active Share and money flows. We show how, consistent with non-informed trades, these funds erode their future performance. However, these funds reach their objective of increasing future money flows. Moreover, we find that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share scores and low tracking errors have the highest levels of Active Share window dressing and the worst future returns. However, compared with less active funds, they are able to capture higher money flows. JEL CLASSIFICATION G23; G11
在公开报告的投资组合中,活跃股票得分的粉饰
使用一个独特的数据库,包括季度末公开披露的基金持有量以及所有非公开披露月份的持有量,我们发现一些基金可以在公开披露的月份改变他们的投资组合,人为地增加他们的活跃股得分,从而显得更加活跃,并利用活跃股与资金流之间的正相关关系。我们展示了与不知情的交易一样,这些基金如何侵蚀它们未来的表现。然而,这些基金达到了增加未来资金流动的目标。此外,我们发现可以通过控制跟踪误差的程度来识别橱窗资金。活跃股得分高、跟踪误差低的基金,其“活跃股”粉饰账目的水平最高,未来回报也最差。然而,与不太活跃的基金相比,它们能够获得更高的资金流。凝胶分类g23;为G11
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
7.50
自引率
6.90%
发文量
14
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信