메뉴 건너뛰기




Volumn 34, Issue 5, 2010, Pages 912-922

The effect of holdings data frequency on conclusions about mutual fund behavior

Author keywords

Momentum; Mutual funds; Taxes; Tournaments; Window dressing

Indexed keywords


EID: 77649338138     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.10.002     Document Type: Article
Times cited : (90)

References (31)
  • 2
    • 35448932705 scopus 로고    scopus 로고
    • A model for tax advantages of portfolios with many assets
    • Birge J., and Yang S. A model for tax advantages of portfolios with many assets. Journal of Banking and Finance 31 (2007) 3269-3290
    • (2007) Journal of Banking and Finance , vol.31 , pp. 3269-3290
    • Birge, J.1    Yang, S.2
  • 4
    • 0011063897 scopus 로고    scopus 로고
    • Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry
    • Brown K., Harlow W., and Starks L. Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. Journal of Finance 51 (1996) 85-110
    • (1996) Journal of Finance , vol.51 , pp. 85-110
    • Brown, K.1    Harlow, W.2    Starks, L.3
  • 5
    • 0041049820 scopus 로고
    • Can tax-loss selling explain the January seasonal in stock returns?
    • Chan K. Can tax-loss selling explain the January seasonal in stock returns?. Journal of Finance 41 (1986) 1115-1128
    • (1986) Journal of Finance , vol.41 , pp. 1115-1128
    • Chan, K.1
  • 6
    • 0001551506 scopus 로고    scopus 로고
    • Risk taking by mutual funds as a response to incentives
    • Chevalier J., and Ellison G. Risk taking by mutual funds as a response to incentives. Journal of Political Economy 105 (1997) 1167-1206
    • (1997) Journal of Political Economy , vol.105 , pp. 1167-1206
    • Chevalier, J.1    Ellison, G.2
  • 7
    • 77649336156 scopus 로고    scopus 로고
    • Elton, E., Gruber, M., Blake, C., forthcoming. Holdings data, security returns and the selection of superior mutual funds. Journal of Financial and Quantitative Analysis.
    • Elton, E., Gruber, M., Blake, C., forthcoming. Holdings data, security returns and the selection of superior mutual funds. Journal of Financial and Quantitative Analysis.
  • 9
    • 10244266413 scopus 로고    scopus 로고
    • Copycat funds: Information disclosure regulation and the returns to active management in the mutual fund industry
    • Frank D., Poterba J., Shackelford D., and Shoven J. Copycat funds: Information disclosure regulation and the returns to active management in the mutual fund industry. Journal of Law and Economics 47 (2004) 515-541
    • (2004) Journal of Law and Economics , vol.47 , pp. 515-541
    • Frank, D.1    Poterba, J.2    Shackelford, D.3    Shoven, J.4
  • 11
    • 60649100008 scopus 로고    scopus 로고
    • Mutual fund volatility, timing and management fees
    • Giambona E., and Golec J. Mutual fund volatility, timing and management fees. Journal of Banking and Finance 33 (2009) 589-599
    • (2009) Journal of Banking and Finance , vol.33 , pp. 589-599
    • Giambona, E.1    Golec, J.2
  • 13
    • 0000741932 scopus 로고
    • Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior
    • Grinblatt M., Titman S., and Wermers R. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 85 (1995) 1088-1105
    • (1995) American Economic Review , vol.85 , pp. 1088-1105
    • Grinblatt, M.1    Titman, S.2    Wermers, R.3
  • 14
    • 6344294115 scopus 로고    scopus 로고
    • Quarterly trading patterns of financial institutions
    • He J., Ng L., and Wang Q. Quarterly trading patterns of financial institutions. Journal of Business 77 (2004) 493-510
    • (2004) Journal of Business , vol.77 , pp. 493-510
    • He, J.1    Ng, L.2    Wang, Q.3
  • 15
    • 2942710402 scopus 로고    scopus 로고
    • An empirical evaluation of tax factors and mutual fund stock sales decisions
    • Huddart S., and Narayaman V. An empirical evaluation of tax factors and mutual fund stock sales decisions. Review of Accounting Studies 7 (2002) 319-341
    • (2002) Review of Accounting Studies , vol.7 , pp. 319-341
    • Huddart, S.1    Narayaman, V.2
  • 16
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh N., and Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 19
    • 77649337699 scopus 로고    scopus 로고
    • Indirect tests of the Haugen-Lakonishok small-firm/January effect hypothesis: Window dressing versus performance hedging
    • Lee C. Indirect tests of the Haugen-Lakonishok small-firm/January effect hypothesis: Window dressing versus performance hedging. Financial Review 2 (1998) 70-81
    • (1998) Financial Review , vol.2 , pp. 70-81
    • Lee, C.1
  • 22
    • 0012362671 scopus 로고    scopus 로고
    • Portfolio disclosures and year-end price shifts
    • Musto D. Portfolio disclosures and year-end price shifts. Journal of Finance 52 (1997) 1563-1588
    • (1997) Journal of Finance , vol.52 , pp. 1563-1588
    • Musto, D.1
  • 23
    • 0040036183 scopus 로고    scopus 로고
    • Investment decisions depend on portfolio disclosures
    • Musto D. Investment decisions depend on portfolio disclosures. Journal of Finance 54 (1999) 935-952
    • (1999) Journal of Finance , vol.54 , pp. 935-952
    • Musto, D.1
  • 25
    • 34447626971 scopus 로고    scopus 로고
    • Momentum strategies based on reward-risk stock selection criteria
    • Rachev S., Jasic T., and Stoyanov S. Momentum strategies based on reward-risk stock selection criteria. Journal of Banking and Finance 31 (2007) 2303-2323
    • (2007) Journal of Banking and Finance , vol.31 , pp. 2303-2323
    • Rachev, S.1    Jasic, T.2    Stoyanov, S.3
  • 26
    • 70249115085 scopus 로고    scopus 로고
    • The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation
    • Rakowski D., and Wang X. The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation. Journal of Banking and Finance 33 (2009) 2102-2109
    • (2009) Journal of Banking and Finance , vol.33 , pp. 2102-2109
    • Rakowski, D.1    Wang, X.2
  • 27
    • 84977730469 scopus 로고
    • Portfolio rebalancing and the turn-of-the-year effect
    • Ritter J., and Chopra N. Portfolio rebalancing and the turn-of-the-year effect. Journal of Finance 44 (1989) 149-165
    • (1989) Journal of Finance , vol.44 , pp. 149-165
    • Ritter, J.1    Chopra, N.2
  • 28
    • 77649338712 scopus 로고    scopus 로고
    • Window dressing, tax-loss selling and momentum profit seasonality
    • Sias R. Window dressing, tax-loss selling and momentum profit seasonality. Financial Analysts Journal 62 (2006) 48-54
    • (2006) Financial Analysts Journal , vol.62 , pp. 48-54
    • Sias, R.1
  • 29
    • 0039647027 scopus 로고    scopus 로고
    • Institutions and individuals at the turn-of-the-year
    • Sias R., and Starks L. Institutions and individuals at the turn-of-the-year. Journal of Finance 52 (1997) 1543-1562
    • (1997) Journal of Finance , vol.52 , pp. 1543-1562
    • Sias, R.1    Starks, L.2
  • 30
  • 31
    • 10144232746 scopus 로고    scopus 로고
    • The potential effects of more frequent portfolio disclosure on mutual fund performance
    • Wermers R. The potential effects of more frequent portfolio disclosure on mutual fund performance. Investment Company Institute Perspective 7 (2001) 1-11
    • (2001) Investment Company Institute Perspective , vol.7 , pp. 1-11
    • Wermers, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.