Abstract
In this paper, we propose a new window dressing index, Simulation Return Rank Gap, and show it improves over the two popular fund window dressing indexes, Backward Holding Return Gap and Rank Gap. First, we conduct a simulation analysis to confirm the dominance of the new index. Next, we use the Chinese market data to compare the three indexes empirically. We find all three indexes confirm the existence of window dressing in the Chinese fund market. The new index maintains a high consistency ratio and a large Spearman correlation coefficient with other indexes. It also has a smaller probability of misidentifying the window dressing funds. The results support the new index as a superior alternative to the current method.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
