학회소식
[2005년 제 1차] The Short-Short Rule and Trading Strategies of Mutu
작성자 : 관리자
조회수 : 766
게시일 :
2005-03-04
Repealed in 1997, IRS (Internal Revenue Service) Code Section 851 (b)(3) commonly known as the “short-short rule (SSR)” was a burden for fund managers to manage their portfolio. The objective of this study is to investigate the effects of repealing the short-short rule on the performance, the risk characteristics, and the trading patterns of mutual funds. This paper finds that the risk measures including beta, idiosyncratic risk, and market risk-adjusted risk clearly show an increase after SSR repeal. The risk-adjusted returns and the risk management skill of funds are also observed to improve. In addition, the expense ratio and the percent of cash holding position significantly drop but that the turnover ratio displays a marginal increase after the SSR repeal. This paper discovers that the effect of the SSR repeal may be somewhat different depending on fund objectives.
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