Window Dressing in Mutual Funds
研究了基金经理在报告期前调整持仓以美化业绩的窗口装饰行为，发现这种行为源于投资者对业绩和持仓信息的矛盾解读，且窗口装饰者往往业绩差、技能低、交易成本高，导致未来表现更糟。
We provide a rationale for window dressing wherein investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers make a risky bet on their performance during a reporting delay period, which affects investors' interpretation of the conflicting signals and hence their capital allocations. Conditional on good (bad) performance, window dressers benefit (suffer) from higher (lower) investor flows compared with non–window dressers. Window dressers also show poor past performance, possess little skill, and incur high portfolio turnover and trade costs, characteristics which in turn result in worse future performance.