Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing
In this paper, we examine a little known aspect of mutual fund accounting, whereby funds do not use contemporaneous fund holdings to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, uses stale portfolio holdings and gives rise to deviations between reported net asset values...
| Main Authors: | , , |
|---|---|
| Format: | Conference item |
| Published: |
2006
|
| _version_ | 1797088765287596032 |
|---|---|
| author | Tufano, P Quinn, M Taliaferro, R |
| author_facet | Tufano, P Quinn, M Taliaferro, R |
| author_sort | Tufano, P |
| collection | OXFORD |
| description | In this paper, we examine a little known aspect of mutual fund accounting, whereby funds do not use contemporaneous fund holdings to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, uses stale portfolio holdings and gives rise to deviations between reported net asset values (NAVs) and returns and the economic values of those quantities. Using both simulations and a new sample of fund transaction data, we establish that distortions in both NAVs and returns are fairly common, and we discuss the implications of this observation for fund practice and regulation. |
| first_indexed | 2024-03-07T02:54:46Z |
| format | Conference item |
| id | oxford-uuid:aee47add-442a-4ca7-8192-d3a9910ebbfb |
| institution | University of Oxford |
| last_indexed | 2024-03-07T02:54:46Z |
| publishDate | 2006 |
| record_format | dspace |
| spelling | oxford-uuid:aee47add-442a-4ca7-8192-d3a9910ebbfb2022-03-27T03:45:48ZLive prices and stale quantities: T+1 Accounting and Mutual Fund MispricingConference itemhttp://purl.org/coar/resource_type/c_5794uuid:aee47add-442a-4ca7-8192-d3a9910ebbfbSaïd Business School - Eureka2006Tufano, PQuinn, MTaliaferro, RIn this paper, we examine a little known aspect of mutual fund accounting, whereby funds do not use contemporaneous fund holdings to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, uses stale portfolio holdings and gives rise to deviations between reported net asset values (NAVs) and returns and the economic values of those quantities. Using both simulations and a new sample of fund transaction data, we establish that distortions in both NAVs and returns are fairly common, and we discuss the implications of this observation for fund practice and regulation. |
| spellingShingle | Tufano, P Quinn, M Taliaferro, R Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing |
| title | Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing |
| title_full | Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing |
| title_fullStr | Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing |
| title_full_unstemmed | Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing |
| title_short | Live prices and stale quantities: T+1 Accounting and Mutual Fund Mispricing |
| title_sort | live prices and stale quantities t 1 accounting and mutual fund mispricing |
| work_keys_str_mv | AT tufanop livepricesandstalequantitiest1accountingandmutualfundmispricing AT quinnm livepricesandstalequantitiest1accountingandmutualfundmispricing AT taliaferror livepricesandstalequantitiest1accountingandmutualfundmispricing |