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| Holdings Markup and Mutual Fund Family Strategy: Evidence from China |
| YU Yin, YAO Tong, ZHANG Zheng, JIANG Jiajun
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Guanghua School of Management, Peking University;
Tippie College of Business, University of Iowa |
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Abstract We propose that actively managed equity mutual funds tend to mark up their portfolio values at quarter ends. This approach is used by mutual fund family as a family strategy to coordinate fund performance within the family. We provide evidence that both the individual fund and its top holding stocks have abnormal return during the last few trading days at quarter ends, and experience a return reversal at the beginning of the next quarter. Further tests indicate that “high family value” funds (i.e., funds with larger size, older funds and funds with higher past performance) show higher abnormal return at quarter ends. We also find that funds with high cross-holdings exhibit higher abnormal return at quarter ends. These results indicate that holdings markup in mutual funds can be explained by fund family strategy.
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Received: 29 September 2017
Published: 01 November 2018
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