Assessment of window dressing using fund returns and portfolio holdings
ABSTRACT: This paper presents the analysis of the monthly portfolio holdings and daily returns of a large sample of Spanish domestic equity funds to test the potential manipulation of portfolios in mandatory reports. The comparison between the return of the fund portfolio holdings and the observed f...
- Autores:
-
Ramírez Córdoba, Gloria Lucía
Ortiz, Cristina
Sarto, José Luis
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2013
- Institución:
- Universidad de Antioquia
- Repositorio:
- Repositorio UdeA
- Idioma:
- eng
- OAI Identifier:
- oai:bibliotecadigital.udea.edu.co:10495/39615
- Acceso en línea:
- https://hdl.handle.net/10495/39615
- Palabra clave:
- Fondos mutuos
Mutual funds
Rentabilidad
Ganancia
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-nd/2.5/co/
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| dc.title.spa.fl_str_mv |
Assessment of window dressing using fund returns and portfolio holdings |
| title |
Assessment of window dressing using fund returns and portfolio holdings |
| spellingShingle |
Assessment of window dressing using fund returns and portfolio holdings Fondos mutuos Mutual funds Rentabilidad Ganancia |
| title_short |
Assessment of window dressing using fund returns and portfolio holdings |
| title_full |
Assessment of window dressing using fund returns and portfolio holdings |
| title_fullStr |
Assessment of window dressing using fund returns and portfolio holdings |
| title_full_unstemmed |
Assessment of window dressing using fund returns and portfolio holdings |
| title_sort |
Assessment of window dressing using fund returns and portfolio holdings |
| dc.creator.fl_str_mv |
Ramírez Córdoba, Gloria Lucía Ortiz, Cristina Sarto, José Luis |
| dc.contributor.author.none.fl_str_mv |
Ramírez Córdoba, Gloria Lucía Ortiz, Cristina Sarto, José Luis |
| dc.contributor.researchgroup.spa.fl_str_mv |
GESTA - Emprendimiento, Finanzas y Gestión Organizacional |
| dc.subject.lemb.none.fl_str_mv |
Fondos mutuos Mutual funds |
| topic |
Fondos mutuos Mutual funds Rentabilidad Ganancia |
| dc.subject.ocde.none.fl_str_mv |
Rentabilidad Ganancia |
| description |
ABSTRACT: This paper presents the analysis of the monthly portfolio holdings and daily returns of a large sample of Spanish domestic equity funds to test the potential manipulation of portfolios in mandatory reports. The comparison between the return of the fund portfolio holdings and the observed fund return reveals that only a low percentage of filings may be classified as window-dressed portfolios. These portfolios are dispersed across funds and fund managers, but they are clustered over three specific quarters that coincide with bear market months. The results seem to indicate that although window dressing is not a widespread practice in the Spanish market, there is evidence to suggest that mutual funds employ this trading strategy as a response to poor past performance. |
| publishDate |
2013 |
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2013 |
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2024-06-04T00:41:18Z |
| dc.date.available.none.fl_str_mv |
2024-06-04T00:41:18Z |
| dc.type.spa.fl_str_mv |
Artículo de investigación |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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2173-1268 |
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https://hdl.handle.net/10495/39615 |
| dc.identifier.doi.none.fl_str_mv |
10.1016/j.srfe.2013.07.002 |
| dc.identifier.eissn.none.fl_str_mv |
2340-3381 |
| identifier_str_mv |
2173-1268 10.1016/j.srfe.2013.07.002 2340-3381 |
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https://hdl.handle.net/10495/39615 |
| dc.language.iso.spa.fl_str_mv |
eng |
| language |
eng |
| dc.relation.ispartofjournalabbrev.spa.fl_str_mv |
Span. Rev. Financ. Econ. |
| dc.relation.citationendpage.spa.fl_str_mv |
93 |
| dc.relation.citationissue.spa.fl_str_mv |
2 |
| dc.relation.citationstartpage.spa.fl_str_mv |
85 |
| dc.relation.citationvolume.spa.fl_str_mv |
11 |
| dc.relation.ispartofjournal.spa.fl_str_mv |
The Spanish Review of Financial Economics |
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http://creativecommons.org/licenses/by-nc-nd/2.5/co/ |
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https://creativecommons.org/licenses/by-nc-nd/4.0/ |
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info:eu-repo/semantics/openAccess |
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openAccess |
| dc.format.extent.spa.fl_str_mv |
9 páginas |
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application/pdf |
| dc.publisher.spa.fl_str_mv |
Asociación Española de Finanzas (AEFIN) Elsevier |
| dc.publisher.place.spa.fl_str_mv |
Salamanca, España |
| institution |
Universidad de Antioquia |
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Ramírez Córdoba, Gloria LucíaOrtiz, CristinaSarto, José LuisGESTA - Emprendimiento, Finanzas y Gestión Organizacional2024-06-04T00:41:18Z2024-06-04T00:41:18Z20132173-1268https://hdl.handle.net/10495/3961510.1016/j.srfe.2013.07.0022340-3381ABSTRACT: This paper presents the analysis of the monthly portfolio holdings and daily returns of a large sample of Spanish domestic equity funds to test the potential manipulation of portfolios in mandatory reports. The comparison between the return of the fund portfolio holdings and the observed fund return reveals that only a low percentage of filings may be classified as window-dressed portfolios. These portfolios are dispersed across funds and fund managers, but they are clustered over three specific quarters that coincide with bear market months. The results seem to indicate that although window dressing is not a widespread practice in the Spanish market, there is evidence to suggest that mutual funds employ this trading strategy as a response to poor past performance.COL01273539 páginasapplication/pdfengAsociación Española de Finanzas (AEFIN)ElsevierSalamanca, Españahttp://creativecommons.org/licenses/by-nc-nd/2.5/co/https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Assessment of window dressing using fund returns and portfolio holdingsArtículo de investigaciónhttp://purl.org/coar/resource_type/c_2df8fbb1https://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionFondos mutuosMutual fundsRentabilidadGananciaSpan. Rev. Financ. Econ.9328511The Spanish Review of Financial EconomicsPublicationORIGINALRamirezGloria_2013_Assessment_Window_Dressing.pdfRamirezGloria_2013_Assessment_Window_Dressing.pdfArtículo de investigaciónapplication/pdf452717https://bibliotecadigital.udea.edu.co/bitstreams/50f43b4d-dde9-4a48-9eb8-915da779199b/download097a83569870523653fd0bfdaadce8e0MD51trueAnonymousREADCC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8823https://bibliotecadigital.udea.edu.co/bitstreams/102ae884-96ff-41e5-a64f-8f2520ae5af9/downloadb88b088d9957e670ce3b3fbe2eedbc13MD52falseAnonymousREADLICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://bibliotecadigital.udea.edu.co/bitstreams/3e62523a-1c21-4219-acc1-1833627bced4/download8a4605be74aa9ea9d79846c1fba20a33MD53falseAnonymousREADTEXTRamirezGloria_2013_Assessment_Window_Dressing.pdf.txtRamirezGloria_2013_Assessment_Window_Dressing.pdf.txtExtracted texttext/plain73735https://bibliotecadigital.udea.edu.co/bitstreams/abfa3da6-0233-42d6-8ace-4a87bac3266c/download71ad3110261170426323d0f6aeefab06MD54falseAnonymousREADTHUMBNAILRamirezGloria_2013_Assessment_Window_Dressing.pdf.jpgRamirezGloria_2013_Assessment_Window_Dressing.pdf.jpgGenerated Thumbnailimage/jpeg15449https://bibliotecadigital.udea.edu.co/bitstreams/ad1c98a3-ec24-4ccc-a12d-428071c2c6af/download206568ae2e620499601ce7fdb97b5274MD55falseAnonymousREAD10495/39615oai:bibliotecadigital.udea.edu.co:10495/396152025-03-26 23:08:31.716http://creativecommons.org/licenses/by-nc-nd/2.5/co/open.accesshttps://bibliotecadigital.udea.edu.coRepositorio Institucional de la Universidad de Antioquiaaplicacionbibliotecadigitalbiblioteca@udea.edu.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 |