Abstract
This paper builds on the limited body of research on window dressing by bond mutual funds. Our monthly bias-free sample allows us to undertake a more comprehensive study than is possible with the quarterly data traditionally employed in otherwise similar studies. We test window dressing in a straightforward manner using monthly undisclosed portfolios, which makes it possible to compare changes in public debt allocations around quarterly disclosures. Our results support the hypothesis that window dressing patterns vary with market conditions. We also conduct thorough tests that indicate the significant influence of fund size on window dressing. Individual analyses provide evidence that this cosmetic practice is not a widespread behaviour in the Spanish bond fund industry.
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.
