We document that in China the maturity dates of bank-issued wealth management products(WMPs)cluster toward the end of a month and then decrease significantly at the beginning of the following month.Our empirical work ...We document that in China the maturity dates of bank-issued wealth management products(WMPs)cluster toward the end of a month and then decrease significantly at the beginning of the following month.Our empirical work detects a negative relationship between a bank’s loan-to-deposit ratio(LDR)at month-ends and the number of its issued WMPs expiring within several days of the month-end.Moreover,this WMP clustering and the negative relationship disappear after the reform in which regulators bring up measures for banks with a high deposit deviation degree in 2014.We also document that the banks tend to arrange the high-return WMPs to expire around month-ends to attract customers,and this clustering of high-return WMPs also disappears after the reform.Our findings suggest that banks actively,rather than passively,use WMPs as vehicles for their regulatory arbitrage or window dressing behaviours.展开更多
I show that the disclosure of mutual funds’holdings significantly affects investors’investment decisions.As most mutual fund websites,advertisements,and fund-trading platforms only disclose a fund’s 10 largest hold...I show that the disclosure of mutual funds’holdings significantly affects investors’investment decisions.As most mutual fund websites,advertisements,and fund-trading platforms only disclose a fund’s 10 largest holdings(top-10),this study finds that investors disproportionately focus on these stocks.However,this bias does not lead to additional profit because relative to their peers,funds with good top-10 performance tend to generate poor long-term returns.I design a clean and innovative discontinuity test between the performance of the 10th and 11th portfolio holdings to examine such window dressing behavior.I find that relative to their peers,funds that are small,new,and highly active are more likely to window dress and incur greater costs if they suffer from severe capital outflows.My findings suggest that partial disclosure misleads investors and allows effective window dressing.展开更多
文摘We document that in China the maturity dates of bank-issued wealth management products(WMPs)cluster toward the end of a month and then decrease significantly at the beginning of the following month.Our empirical work detects a negative relationship between a bank’s loan-to-deposit ratio(LDR)at month-ends and the number of its issued WMPs expiring within several days of the month-end.Moreover,this WMP clustering and the negative relationship disappear after the reform in which regulators bring up measures for banks with a high deposit deviation degree in 2014.We also document that the banks tend to arrange the high-return WMPs to expire around month-ends to attract customers,and this clustering of high-return WMPs also disappears after the reform.Our findings suggest that banks actively,rather than passively,use WMPs as vehicles for their regulatory arbitrage or window dressing behaviours.
文摘I show that the disclosure of mutual funds’holdings significantly affects investors’investment decisions.As most mutual fund websites,advertisements,and fund-trading platforms only disclose a fund’s 10 largest holdings(top-10),this study finds that investors disproportionately focus on these stocks.However,this bias does not lead to additional profit because relative to their peers,funds with good top-10 performance tend to generate poor long-term returns.I design a clean and innovative discontinuity test between the performance of the 10th and 11th portfolio holdings to examine such window dressing behavior.I find that relative to their peers,funds that are small,new,and highly active are more likely to window dress and incur greater costs if they suffer from severe capital outflows.My findings suggest that partial disclosure misleads investors and allows effective window dressing.
