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Investment Decisions Depend on Portfolio Disclosures

David K. Musto
The Journal of Finance
Vol. 54, No. 3 (Jun., 1999), pp. 935-952
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/222430
Page Count: 18
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Investment Decisions Depend on Portfolio Disclosures
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Abstract

A weekly database of retail money fund portfolio statistics is uneconomical for retail investors to observe, so it allows direct comparison of disclosed and undisclosed portfolios. This makes possible a more direct and unambiguous test for "window dressing" than elsewhere in the literature. The analysis shows that funds allocating between government and private issues hold more in government issues around disclosures than at other times, consistent with the theory that intermediaries prefer to disclose safer portfolios. Cross-sectional comparisons locate the most intense rebalancing in the worst recent performers.

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