TAILIEUCHUNG - Unobserved Actions of Mutual Funds

Our sample contains a total of 1301 open-end, no-load . domestic equity mutual funds, which include actively managed funds, index funds, sector funds, and ETFs (exchange traded funds). Monthly net returns, as well as annual turnover and expense ratios for the funds, are obtained from the Center for Research in Security Prices (CRSP) mutual fund database over the sample period January 1975–December 2002. Additional data on fund investment objectives are obtained from the Thomson/CDA Spectrum files. In Appendix A, we provide both the process for determining whether a fund is a domestic equity fund as well as a description of the characteristics of our investable equity funds | Unobserved Actions of Mutual Funds Marcin Kacperczyk University of British Columbia Clemens Sialm University of Texas at Austin and NBER Lu Zheng University of California Irvine Despite extensive disclosure requirements mutual fund investors do not observe all actions of fund managers. We estimate the impact of unobserved actions on fund returns using the return gap the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that unobserved actions of some funds persistently create value while such actions of other funds destroy value. Our main result shows that the return gap predicts fund performance. JEL G11 G23 Despite extensive disclosure requirements mutual fund investors do not observe all actions of fund managers. For example fund investors do not observe the exact timing of trades and the corresponding transaction costs. On the one hand fund investors may benefit from unobserved interim trades by skilled fund managers who use their informational advantage to time the purchases and the sales of individual stocks optimally. On the other hand they may bear hidden costs such as trading costs agency costs and negative investor externalities. In this paper we analyze the impact of unobserved actions on mutual fund performance. We thank Klaas Baks Jonathan Berk Sreedhar Bharath Susan Christoffersen Elroy Dimson Roger Edelen Katrina Ellis Richard Evans William Goetzmann Jennifer Huang Roger Ibbotson Jackie King Massimo Massa . Narayanan Lubos Pastor Antti Petajisto Jonathan Reuter Pablo Ruiz-Verdu Jacob Sagi Matthew Spiegel the editor Steven Todd Li Wei Ruhui Yang Ning Zhu Eric Zitzewitz two anonymous referees and seminar participants at Barclays Global Investors Hong Kong University of Science and Technology INSEAD Northwestern University University of Binghamton University of British Columbia University of California at Irvine University of Carlos III de Madrid University of

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