Better Kept in the Dark? Portfolio Disclosure and Agency Problems in Mutual Funds
利用共同基金行业监管变化作为实验场景，研究发现更频繁的组合披露增加了高业绩波动基金的经理技能重估风险，导致管理费上升、风险承担下降，最终损害投资者净业绩。
Abstract We study the agency implications of increased disclosure using a regulatory change in the mutual fund industry as an experimental setting. This quasi-natural experiment mandated more frequent portfolio disclosure, which we show imposes managerial skill-reassessment risks from investors on funds with high relative performance volatility. In turn, this risk translates into greater agency costs to investors. We show that high-volatility funds, relative to low-volatility funds, responded to the increased skill-reassessment risk after regulation with an increase in management fees and a decrease in risk taking. These actions get transmitted to fund investors in the form of inferior net performance.