The Rise and Fall of Portfolio Pumping Among U.S. Mutual Funds

摘要：

We construct a new measure that tightens the link between stock return patterns around quarter- ends and the likelihood that these patterns result from mutual fund portfolio pumping. Both the level and the concentration of mutual fund ownership explain temporary stock price increases at the end of the quarter. We show that pumping is particularly pronounced among the best- and worst-performing funds and document a distinctive increase in this activity during the 1997-2001 period. The sharp decrease in portfolio pumping after 2001 is most likely due to academic and media attention that spawned investor activism and SEC enforcement actions. These changes in regulatory attention and scrutiny markedly affected the behavior of mutual fund managers.

作者: Truong X. Duong Felix Meschke

作者单位: Carlson School of Management,University of Minnesota,321 19th Avenue South,Room 3-122,Minneapolis,MN 55455

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-39

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）