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1 results

  • Better Kept in the Dark? Portfolio Disclosure and Agency Problems in Mutual Funds

  • Teodor Dyakov, Jarrad Harford, Buhui Qiu
  • Journal:
    Journal of Financial and Quantitative Analysis / Volume 57 / Issue 4 / June 2022
    Published online by Cambridge University Press:
    19 January 2021, pp. 1529-1563
    Print publication:
    June 2022

  • We study the agency implications of increased disclosure using a regulatory change in the mutual fund industry as an experimental setting. This quasi-natural experiment mandated more frequent portfolio disclosure, which we show imposes managerial skill-reassessment risks from investors on funds with high relative performance volatility. In turn, this risk translates into greater agency costs to investors. We show that high-volatility funds, relative to low-volatility funds, responded to the increased skill-reassessment risk after regulation with an increase in management fees and a decrease in risk taking. These actions get transmitted to fund investors in the form of inferior net performance.