Hiding Behind the Window Blinds: Strategic Trading by Mutual Funds

Speaker：Jennifer (Jie) Li, Assistant Professor of Finance at Shanghai Advanced Institute of Finance (SAIF)

Host：ZHU Xiaoyu,  Assistant Professor, Lingnan College, Sun Yat-sen University

Language：English + Chinese 

Abstract:

This paper studies the strategic hiding behavior of mutual funds, where they are required to disclose top-10 holdings at the end of quarter 1&3 and the whole portfolio at the end of quarter 2&4. We find strong evidence that fund managers hide some of their top holdings by moving them out of top 10 threshold right before the end of quarter 1&3. These stocks exhibit superior future performance, indicating that they are associated with private information. We further identify two sources of information fund managers intend to hide: earnings announcements and other irregular information-sensitive events. Together the evidences support private information as the dominant motives for strategic hiding behavior by mutual funds.

Profile of the Speaker

Jennifer (Jie) Li is an Assistant Professor of Finance at Shanghai Advanced Institute of Finance (SAIF).

Professor Li’s 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).

http://en.saif.sjtu.edu.cn/faculty-research/li-jie