The holdings markup behavior of mutual funds: evidence from an emerging market.

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dc.contributor.authorWang, Ching-Chang
dc.contributor.authorYu, Jerry
dc.contributor.departmentFinance & Economicsen_US
dc.date.accessioned2019-11-08T17:04:37Z
dc.date.available2019-11-08T17:04:37Z
dc.date.issued2018-02
dc.descriptionJournal articleen_US
dc.description.abstractThis paper uncovers a seasonal mutual fund holdings markup pattern in Taiwan's market. Specifically, we find that fund's equity holdings jump up significantly at the quarter ends and year-end while drop back immediately to the previous level in the following month. While the holdings markup pattern found in this paper may look similar to the price markup phenomenon found by Carhart et al. (J Finance 57:661-693, 2002), the mechanism used by fund managers in the performance inflation may be quite different. In specific, while Carhart et al. (J Finance 57:661-693, 2002) document that fund managers use the stocks currently held in their portfolio to mark up the fund performance, we find that fund managers in fact use both the stocks already held in their portfolio and the new stocks to mark up their holdings. Furthermore, Carhart et al. (J Finance 57:661-693, 2002) do not explicitly examine if there exists a holdings markup in addition to the price markup. In this study, we fill this gap by directly exploring the holdings markup behavior by the fund managers. We also identify the specific stock characteristics that fund managers prefer in their holdings markup. In specific, fund managers prefer to trade growth stocks, stocks with larger market capitalization, higher institutional ownership, higher quality of earnings, and stocks in the high-tech industry, to inflate the fund performance. We also find that fund managers tend to avoid stocks that are herded by other funds.en_US
dc.description.urihttp://proxy-ub.researchport.umd.edu/login?url=https://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=127379918&site=eds-liveen_US
dc.format.extent27 pagesen_US
dc.identifierdoi:10.13016/m23znf-drmd
dc.identifier.citationWang, C.-C., & Yu, J. (2018). The holdings markup behavior of mutual funds: evidence from an emerging market. Review of Quantitative Finance & Accounting, 50(2), 393–414. https://doi.org/10.1007/s11156-017-0633-1en_US
dc.identifier.issn0924-865X
dc.identifier.uri10.1007/s11156-017-0633-1
dc.identifier.urihttp://hdl.handle.net/11603/16220
dc.language.isoen_USen_US
dc.publisherReview of Quantitative Finance & Accountingen_US
dc.relation.isAvailableAtUniversity of Baltimore
dc.subjectG20en_US
dc.subjectG23en_US
dc.subjectHoldings markupen_US
dc.subjectPrice markupen_US
dc.subjectReturn seasonalityen_US
dc.subjectMutual fundsen_US
dc.subjectEmerging marketsen_US
dc.subjectmarkupen_US
dc.subjectmarket capitalizationen_US
dc.titleThe holdings markup behavior of mutual funds: evidence from an emerging market.en_US
dc.typeCollectionen_US

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