Window dressing in the Active Share scores in publicly reported portfolios
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http://hdl.handle.net/10045/116448
Título: | Window dressing in the Active Share scores in publicly reported portfolios |
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Autor/es: | Andreu, Laura | Forner, Carlos | Sarto, José Luis |
Grupo/s de investigación o GITE: | Contabilidad y Finanzas (CyF) |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Economía Financiera y Contabilidad |
Palabras clave: | Active Share | Monthly fund portfolio holdings | Tracking error | Window dressing |
Área/s de conocimiento: | Economía Financiera y Contabilidad |
Fecha de publicación: | 5-jul-2021 |
Editor: | SAGE Publications |
Cita bibliográfica: | BRQ Business Research Quarterly. 2021. https://doi.org/10.1177/23409444211024645 |
Resumen: | 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. |
Patrocinador/es: | This work was supported by the Spanish government and the European Union FEDER funds RTI2018-093483-B-I00. |
URI: | http://hdl.handle.net/10045/116448 |
ISSN: | 2340-9444 |
DOI: | 10.1177/23409444211024645 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © The Author(s) 2021. Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (https://creativecommons.org/licenses/by-nc/4.0/) which permits non-commercial use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access page (https://uk.sagepub.com/aboutus/openaccess.htm). |
Revisión científica: | si |
Versión del editor: | https://doi.org/10.1177/23409444211024645 |
Aparece en las colecciones: | INV - Contabilidad y Finanzas - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
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Andreu_etal_2021_BusinessResQuart.pdf | 291,13 kB | Adobe PDF | Abrir Vista previa | |
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