Shackleton, Mark Broughton and Yan, Jiali and Yao, Yaqiong (2020) NAV Inflation and Impact on Performance in China. European Financial Management, 26 (1). pp. 118-142. ISSN 1354-7798
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Abstract
Our study is among the first to examine the net asset value (NAV) inflation practices of fund managers in China, finding that equity funds bolster their portfolios at quarter-end and especially year-end. In support of the NAV inflation hypothesis in China, we further document the following: (1) NAV inflation is more profound for the worst-performing fund managers and (2) the stocks in which fund managers hold larger stakes exhibit a more marked pattern of price inflation around quarter- and year-ends than do other stocks. We also find that closed-end funds in China engage in NAV inflation at quarter- and year-ends.