Investment Decisions Depend on Portfolio Disclosures
利用零售货币基金组合的周度数据，比较披露与未披露组合，发现基金在披露前后更倾向于持有政府债券，支持中介偏好披露更安全组合的理论，且业绩差的基金调整更明显。
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.