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.

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Date Posted: 27 November 2017

This document has been peer reviewed.