دانلود رایگان مقاله انگلیسی رفتار افزایش بهای نگهداشت صندوق های متقابل: شواهدی از بازار در حال ظهور - اشپرینگر 2018

Abstract

This paper uncovers a seasonal mutual fund holdings markup pattern in Taiwan’s market. Specifically, we find that fund’s equity holdings jump up significantly at the quarter-ends and year-end while drop back immediately to the previous level in the following month. While the holdings markup pattern found in this paper may look similar to the price markup phenomenon found by Carhart et al. (J Finance 57:661–693, 2002), the mechanism used by fund managers in the performance inflation may be quite different. In specific, while Carhart et al. (J Finance 57:661–693, 2002) document that fund managers use the stocks currently held in their portfolio to mark up the fund performance, we find that fund managers in fact use both the stocks already held in their portfolio and the new stocks to mark up their holdings. Furthermore, Carhart et al. (J Finance 57:661–693, 2002) do not explicitly examine if there exists a holdings markup in addition to the price markup. In this study, we fill this gap by directly exploring the holdings markup behavior by the fund managers. We also identify the specific stock characteristics that fund managers prefer in their holdings markup. In specific, fund managers prefer to trade growth stocks, stocks with larger market capitalization, higher institutional ownership, higher quality of earnings, and stocks in the high-tech industry, to inflate the fund performance. We also find that fund managers tend to avoid stocks that are herded by other funds.

5 Conclusions

This paper uncovers a seasonal mutual fund holdings markup pattern in Taiwan’s market. Specifically, we find that fund’s holdings jump up significantly at the quarter-ends while drop back immediately to the previous level in the following month. And this phenomenon is more pronounced at the end of the fourth quarter, i.e., year-end. The holdings markup pattern found in this paper may look similar to the price markup found by Carhart et al. (2002) in the US market. And, both of the two phenomena may be based on the same motivation of the fund managers trying to inflate their fund performance at the quarter-ends and year-end when evaluations on funds are usually taking place. However, the mechanism and the implications from both of the patterns can be different.

First of all, the price markup pattern found by Carhart et al. (2002) implies that fund managers tend to demand more shares and push up the prices of the stocks already held in the fund. However, the holdings markup phenomenon implies that fund managers may have alternative ways to inflate their portfolio performance. Pushing up the price for the stocks that a fund has already held is only one of the two ways to inflate a fund’s performance. Another way is to buy shares that are not already held in a fund’s current portfolio but are expected to have a higher future return. We document that fund managers tend to also use new stocks in marking up their portfolio holdings, although majority of the stocks fund managers use are the ones that are already held in their portfolios, which is consistent with the portfolio pumping documented in the literature.