Professor Felix Meschke from University of Minnesota is giving a VGSF
research seminar on "The Rise and Fall of Portfolio Pumping Among U.S.
Mutual Funds" on October 12 (Friday, 15:30-17:00), at Institute for
Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download
the paper to be presented at the VGSF webpage (Activities & Events-->
Research Seminars). The abstract of the paper is attached below.
Professor Meschke is going to visit BWZ in the morning of Oct 12. If you
would like to meet him at BWZ on Oct 12, please let me know as soon as
possible.
Kind regards,
Youchang Wu
We construct a new measure that tightens the link between stock return
patterns around quarter-
ends and the likelihood that these patterns result from mutual fund
portfolio pumping. Both the
level and the concentration of mutual fund ownership explain temporary
stock price increases at
the end of the quarter. We show that pumping is particularly pronounced
among the best- and
worst-performing funds and document a distinctive increase in this
activity during the 1997-2001
period. The sharp decrease in portfolio pumping after 2001 is most
likely due to academic and
media attention that spawned investor activism and SEC enforcement
actions. These changes in
regulatory attention and scrutiny markedly affected the behavior of
mutual fund managers.