Investment decisions depend on portfolio disclosures

Article Abstract:

A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This makes possible a more direct and unambiguous test for "window dressing" than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios. Cross-sectional comparisons locate the most intense rebalancing in the worst recent performers. (Reprinted by permission of the publisher.)

Research, Investments, Financial planners, Money market, Money markets

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Model misspecification and underdiversification

Article Abstract:

Research shows that small variations of ambiguity concerning the marginal return distribution can create significantly underdiversified portfolios relative to standard mean-variance when high levels of overall ambiguity concerning joint distribution of returns exists.

Economic aspects, Comparative analysis, Return on investment, Rate of return, Ambiguity, Diversification (Investments)

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Delegated portfolio management and rational prolonged mispricing

Article Abstract:

The value of up-to-date information for portfolio management by fund managers is discussed.

General services, Analysis, Evaluation, Company systems management, Information management, Stock prices, Securities trading

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