Journal of Banking & Finance · Available online 5 January 2016
更加頻繁的投資組合披露對共同基金表現的影響
作者：Sitikantha Parida(Clark University, Graduate School of Management, Worcester, MA, USA), Terence Teo(Maybank Kim Eng Securities Pte. Ltd, Singapore)
摘要：本文分析了更為頻繁的投資組合披露對共同基金表現的影響。自2004年以來，美國證券交易委員會（SEC）要求所有美國的共同基金從半年之前按季度對其投資組合進行披露。監管的這種變化為我們研究披露頻率對共同基金表現的影響提供了一個自然的環境。在政策變化之前，我們發現成功的半年度基金業績每個月要比成功的季度基金業績高17-20個基點。2004年以後，它們的業績下降，同時不再優于成功的季度基金。而那些持有非流動資産的半年度基金的業績下降更高。這些結果支持了我們的假設，即更頻繁披露的基金，特别是那些持有非流動資産的基金，更容易受到提前交易活動的影響。補充證據表明，基于公開披露的提前交易策略的盈利能力随着投資組合披露頻率的增加而增加。
關鍵詞：投資組合披露頻率，共同基金表現，提前交易，搭便車，雙重差分檢驗，非流動基金
The Impact of More Frequent Portfolio Disclosure on Mutual Fund Performance
Sitikantha Parida(Clark University, Graduate School of Management, Worcester, MA, USA), Terence Teo(Maybank Kim Eng Securities Pte. Ltd, Singapore),
ABSTRACT
This paper analyzes the impact of more frequent portfolio disclosures on performance of mutual funds. Since 2004, SEC requires all U.S. mutual funds to disclose their portfolio holdings on a quarterly basis from semi-annual previously. This change in regulation provides a natural setting to study the impact of frequency of disclosure on performance of mutual funds. Prior to the policy change, we find that successful semi-annual funds outperform successful quarterly funds by 17-20 basis points a month. After 2004, their performance goes down and they no longer outperform successful quarterly funds. This reduction in performance is higher for semi-annual funds holding illiquid assets. These results support our hypothesis that the performance of funds with more frequent disclosure, particularly of those holding illiquid assets, suffer more from front running activities. We also find complementary evidence that the profitability of a hypothetical front running strategy based on public disclosures goes up with the frequency of portfolio disclosures.
Keywords: Portfolio Disclosure Frequency, Mutual Fund Performance, Front Running, Free Riding, Difference-in-Difference Test, Illiquid Funds
原文鍊接：
http://www.sciencedirect.com/science/article/pii/S0378426615000266
翻譯：賈夢悅
