Finance Papers
Document Type
Journal Article
Date of this Version
1999
Publication Source
The Journal of Finance
Volume
54
Issue
3
Start Page
935
Last Page
952
DOI
10.1111/0022-1082.00132
Abstract
A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This makes possible a more direct and unambiguous test for “window dressing” than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios. Cross-sectional comparisons locate the most intense rebalancing in the worst recent performers.
Copyright/Permission Statement
This is the peer reviewed version of the following article, which has been published in final form at http://dx.doi.org/10.1111/0022-1082.00132. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Recommended Citation
Musto, D. K. (1999). Investment Decisions Depend on Portfolio Disclosures. The Journal of Finance, 54 (3), 935-952. http://dx.doi.org/10.1111/0022-1082.00132
Date Posted: 27 November 2017
This document has been peer reviewed.