Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure |
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| Authors: | Zhe Chen David R. Gallagher Adrian D. Lee |
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| Affiliation: | 1. Centre for International Finance and Regulation, Sydney, NSW, Australia;2. UNSW Business School, UNSW Australia, Sydney, NSW, Australia;3. Capital Markets CRC Limited, Sydney, NSW, Australia;4. Macquarie Graduate School of Management, North Ryde, NSW, Australia;5. University of Technology Sydney, Broadway, NSW, Australia |
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| Abstract: | 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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| Keywords: | Managed funds Portfolio holdings disclosure Copycat funds |
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