Journal article
Effective delays in portfolio disclosure
Journal of financial regulation and compliance, v 20(2)
01 Jan 2012
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
Purpose - The timeliness of portfolio holdings information disclosure has been of interest among regulators, academics and practitioners since the Investment Company Act of 1940. The Securities Exchange Commission has been trying to strike a balance between investors' interest in timely disclosure and the potential costs associated with revealing the strategies of investment managers. The purpose of this paper is to investigate whether current rules regarding the delay in disclosure adequately protect investors, and prevent the formation of copycat portfolios that can profit from the research of the original portfolio manager.
Design/methodology/approach - The paper examine the effectiveness of different delays (30, 60 or 90 days) in disclosure of holdings for a sample of large-cap, actively-managed mutual funds. Copycat portfolios are constructed based on the holdings of the original portfolios, and their returns compared against the returns (net of expenses) of the original portfolios over the corresponding time frames.
Findings - The results indicate that the current delay of 60 days is sufficient to prevent such free-riding; however, shortening the delay to 30 days would adversely affect mutual fund investors.
Originality/value - The paper aims to provide an answer to those debates on the effective delays in portfolio disclosure among academics and practitioners based on quantitative evidence. It also contributes to leave a guideline for regulators since the patterns of over-or under-performance of the original portfolio returns vis-a` - vis the copycat portfolio returns over varying delays provide important insights about possible effects of changes in disclosure regulations.
Metrics
Details
- Title
- Effective delays in portfolio disclosure
- Creators
- Seung Hee Choi - College of New JerseyManeesh Chhabria - Drexel University
- Publication Details
- Journal of financial regulation and compliance, v 20(2)
- Publisher
- Emerald Group Publishing
- Number of pages
- 16
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:000211807200005
- Scopus ID
- 2-s2.0-85015635328
- Other Identifier
- 991019168913704721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance