Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds

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No Canadian affiliation. An affiliation-only frame — the usual design — would never have seen this work. It is one of the works that make the case for inverting the frame.

Machine scores (provisional)

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Teacher spread

0.124 · how far apart the two teachers sit on this one work

Validation status

score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Abstract

ABSTRACT We present evidence that fund managers inflate quarter‐end portfolio prices with last‐minute purchases of stocks already held. The magnitude of price inflation ranges from 0.5 percent per year for large‐cap funds to well over 2 percent for small‐cap funds. We find that the cross section of inflation matches the cross section of incentives from the flow/performance relation, that a surge of trading in the quarter's last minutes coincides with a surge in equity prices, and that the inflation is greatest for the stocks held by funds with the most incentive to inflate, controlling for the stocks' size and performance.

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The record

Venue

The Journal of Finance

Topic

Financial Markets and Investment Strategies

Field

Economics, Econometrics and Finance

Canadian institutions

—

Funders

—

Keywords

Equity (law)PortfolioMonetary economicsIncentiveQuarter (Canadian coin)Inflation (cosmology)EconomicsBusinessFinance

Has abstract in OpenAlex

yes

API

/api/v1/works/W2168665401