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The Frequency of Mutual Fund Portfolio Disclosure
Weili Ge, The University of Washington
Lu Zheng, The University of California Irvine
ABSTRACT. This study investigates both the determinants and potential effects of portfolio disclosure frequency by comparing mutual funds providing quarterly voluntary disclosure to mutual funds providing mandatory semiannual disclosure. We find that funds with higher turnover, higher expense ratios, and higher likelihood of committing fraud, tend to disclose their holdings less frequently. Our findings show a significant asymmetric relation between disclosure frequency and future fund performance for past winners and losers. Consistent with the information effect, past winners who disclose less frequently outperform past winners who disclose more frequently. Consistent with the agency effect, past losers who disclose less frequently underperform past losers who disclose more frequently. We also document higher new money growth for funds providing more frequent disclosure among poorly performing funds.
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