Better Kept in the Dark? Portfolio Disclosure and Agency Problems in Mutual Funds
We study the agency implications of increased disclosure using a regulatory change in the mutual fund industry as an experimental setting. This quasi-natural experiment mandated more frequent portfolio disclosure, which we show imposes managerial skill-reassessment risks from investors on funds with...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 2022-06, Vol.57 (4), p.1529-1563 |
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| container_end_page | 1563 |
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| container_issue | 4 |
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| container_title | Journal of financial and quantitative analysis |
| container_volume | 57 |
| creator | Dyakov, Teodor Harford, Jarrad Qiu, Buhui |
| description | We study the agency implications of increased disclosure using a regulatory change in the mutual fund industry as an experimental setting. This quasi-natural experiment mandated more frequent portfolio disclosure, which we show imposes managerial skill-reassessment risks from investors on funds with high relative performance volatility. In turn, this risk translates into greater agency costs to investors. We show that high-volatility funds, relative to low-volatility funds, responded to the increased skill-reassessment risk after regulation with an increase in management fees and a decrease in risk taking. These actions get transmitted to fund investors in the form of inferior net performance. |
| doi_str_mv | 10.1017/S0022109021000041 |
| format | Article |
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| ispartof | Journal of financial and quantitative analysis, 2022-06, Vol.57 (4), p.1529-1563 |
| issn | 0022-1090 1756-6916 |
| language | eng |
| recordid | cdi_proquest_journals_2676605595 |
| source | Cambridge University Press Journals Complete; EBSCOhost Business Source Complete |
| subjects | Disclosure Fees & charges Investors Mutual funds Portfolio management Risk factors Risk taking Volatility |
| title | Better Kept in the Dark? Portfolio Disclosure and Agency Problems in Mutual Funds |
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