講座：Hiding Behind the Window Blinds: Strategic Trading by Mutual Funds
題 目：Hiding Behind the Window Blinds: Strategic Trading by Mutual Funds
嘉 賓：李潔 助理教授 上海交通大學上海高級金融學院
主持人：張然 助理教授 上海交通大學安泰經濟與管理學院
Using a novel dataset that covers the entire daily trading records of all mutual funds in Shanghai Stock Exchange from 2005 to 2018 and a unique two-level disclosure policy at Quarters 1&3 versus Quarters 2&4 in the Chinese stock market, this paper sheds the first light on mutual fund managers’ strategic concealing behaviors under partial disclosure policy. Fund managers actively move some of their top 10 holdings to just below the top-10 threshold right before the ends of Quarters 1&3 and these stocks exhibit significantly superior future risk-adjusted returns. We further explore the sources of information behind these hidden stocks by showing that they are associated with both earnings announcements and other information-sensitive events. Together the evidences imply that partial disclosure policy helps managers to strategically conceal information but also allows them to trade on insider information. Our paper contributes to the debate on the optimal level and the extent of fund portfolio disclosure.
Jennifer (Jie) Li is an Assistant Professor of Finance at Shanghai Advanced Institute of Finance (SAIF). Her research interests include Empirical Asset Pricing, Behavioral Finance, Mutual Fund, Financial Intermediation, Retail Investors and Institutional investors, with a particular focus on Chinese financial market. Professor Li holds a Ph.D. in Finance from INSEAD (2018) and M.S. in Financial Management from Renmin University (2013).