The effect of holdings data frequency on conclusions about mutual fund behavior

By Edwin J. Elton, Martin Gruber, Christopher R. Blake, Yoel Krasny, Sadi Ozelge. 2010

145 citations recorded by the source corpus.

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An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data (2012, unknown): “2 See, for example, Dybvig and Ross (1985) and Elton et al. (2010b) for discussions on how timing”
Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, unknown): “…literature and relies on the implementation shortfall approach described inPerold (1988).5 We define execution shortfall for a ticket as follows: 3 Elton et al.(2010) andPuckett and Yan(2011) estimate that intraquarter round-trip trades, which cannot be observed using changes in quarterly…”
The Interim Trading Skills of Institutional Investors (2011, background): “Our analysis is also motivated by Elton et al. (2010) and Elton, Gruber, and Blake (2010), who show that when higher-frequency (i.e., monthly) holdings are used to investigate window dressing, tax-loss selling, tournament behavior, and timing ability, conclusions are very different from those…”