Do Mutual Funds Walk the Talk? Evidence from Fund Risk Disclosure
结合基金收益和文本数据，衡量风险披露对基金收益的解释力，发现平均解释力为55%，并分析影响披露信息量的因素，如SEC意见函、资金流动和业绩压力。
Abstract We examine the informativeness of fund risk disclosure by combining fund returns and textual data. We develop a novel measure, INF, to capture the explanatory power of disclosed risks for fund returns. Average INF is 55% after controlling for market risk and remains 26–29% after excluding risks related to fund name or strategy. We explain variations in INF through disclosure costs and benefits: (1) Funds with less informative disclosures face SEC comment letters and reduced flow, (2) informative disclosures attract institutional flows, and (3) performance concerns may disincentivize disclosure. Overall, funds face trade-offs between transparency and maintaining their competitive advantage.