Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Chen, Z; Gallagher, DR; Lee, AD

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Chen, Z Gallagher, DR Lee, AD

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Publication Type:: Journal Article
Citation:: Accounting and Finance, 2017, 57 pp. 101 - 116
Issue Date:: 2017-04-01

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Field	Value	Language
dc.contributor.author	Chen, Z	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.contributor.author	Lee, AD https://orcid.org/0000-0001-5984-8688	en_US
dc.date.available	2020-05-25T19:04:25Z
dc.date.issued	2017-04-01	en_US
dc.identifier.citation	Accounting and Finance, 2017, 57 pp. 101 - 116	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/77447
dc.description.abstract	© 2016 AFAANZ 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.	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.relation.isbasedon	10.1111/acfi.12214	en_US
dc.subject.classification	Accounting	en_US
dc.title	Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure	en_US
dc.type	Journal Article
utslib.citation.volume	57	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	57	en_US

Abstract:

© 2016 AFAANZ 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.

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http://hdl.handle.net/10453/77447