Abstract

Valuation risk of a security—uncertainty about its fair value—is a subject of considerable concern in the mutual fund industry. If funds report different values for identical securities, investors cannot easily compare their performance. Yet it is not unusual to see identical illiquid stocks, small-cap stocks, stocks with high analyst dispersion, stocks with less analyst coverage, and newly listed stocks valued differently across mutual funds. An equity fund that has positive price dispersion in its portfolio holdings, that performs poorly, that belongs to a fund family with an inclination for aggressive reporting, that holds more stocks subject to stale prices, that holds more pre-IPO firms, or that experiences net outflows will tend to show positive price dispersion again in the next quarter. This behavior is significant in a volatile market. Aggressive reporting helps funds gain in the mutual fund tournament. (JEL G10, G23)

中文翻译：

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共同基金投资组合披露中的估值风险

摘要

证券的估值风险——其公允价值的不确定性——是共同基金行业相当关注的主题。如果基金报告相同证券的不同价值，投资者就不能轻易比较它们的表现。然而，相同的非流动性股票、小盘股、分析师分散度高的股票、分析师覆盖率较低的股票以及新上市股票在共同基金中估值不同的情况并不少见。股票基金在其投资组合中具有正价格分散，表现不佳，属于具有激进报告倾向的基金家族，持有更多受陈旧价格影响的股票，持有更多上市前公司，或经历净流出将在下一季度再次出现正的价格离散。这种行为在动荡的市场中意义重大。积极的报告有助于基金在共同基金锦标赛中获利。(杰尔G10, G23)