| Frequency of Fund Holdings Disclosure and the Profitability of Copycat Funds |
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Kwang Soo Ko, Ya Ping Wang, Mi Youn Paek |
| 주식형 펀드의 포트폴리오 공시 빈도와 복제펀드의 수익성 연구 |
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고광수, , 백미연 |
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| Abstract |
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This study examines the effects of disclosure frequency of equity fund holdings on performance. Based on our findings, we suggest policy implications for the regulations of fund holdings disclosure. The empirical findings are as follows. First, we find that the complete disclosure of quarterly fund holdings does not imply the outperformance of copycat funds over original funds. Second, copycat funds also underperform original funds when we assume even monthly disclosure of fund holdings. Third, in the case of a monthly or quarterly disclosure, the delay period of disclosure does not have any effect on the underperformance of copycat funds. Finally, it appears that copycat strategy would be successful when we mimic poorly performing funds. Our empirical findings suggest that more frequent and complete holdings disclosure do not harm fund shareholders. Rather, more frequent and complete holdings disclosure will protect fund investors from managers` unfair churning. |
| Key Words:
공시 지연 기간,복제 전략,복제펀드,펀드 공시 빈도,포트폴리오 정보,Copycat Funds,Copycat Strategy,Delays in Portfolio Disclosure,Frequency of Portfolio Disclosure,Portfolio Information |
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