Seminar (Dept. of Finance)

Title: Do Mutual Funds Walk the Talk? Evidence from Fund Risk Disclosure

Speaker: Xu nan, Assistant Professor, School of Finance, Nankai University

Time: 10:00-11:30, Sep 27, 2024(Friday)

Venue: Room 1008, Mingde Business Building

Language: English/Chinese

ABSTRACT:

We examine the accuracy of mutual fund risk disclosure using the Risk Coverage Ratio (RCR), comparing the explanatory power of risks disclosed by a fund to that of all risks disclosed by all funds. Excluding market risk, the average fund RCR is 55%; RCR drops to 26% when we exclude information contained in fund names. RCR is positively related to flows from institutional investors. However, RCR correlates with lower future fund performance, suggesting costs associated with revealing private information. Notably, 56% of disclosed risks are insignificant, indicating over-disclosure. Funds improve the informativeness of risk disclosure after receiving SEC comment letters.

SHORT BIOGRAPHY:

Nan Xu is an Assistant Professor of Finance at Nankai University. She holds a Ph.D. in Finance from the University of California, Irvine. Her primary research areas include mutual funds, institutional investors, empirical asset pricing, textual analysis, and behavioral finance. Her papers have been presented at academic conferences such as the China International Conference in Finance (CICF), the Midwest Finance Association Annual Meeting (MFA), the Melbourne Asset Pricing Conference, the UNSW Asset Pricing Conference, INFORMS, and AsianFA. She was awarded the CICF "Xiyue Best Paper Award" and serves as a referee for journals such as Financial Research Letters (FRL).