We find that the relationship between activeness and future fund performance significantly weakens after the passage of regulation fair disclosure (FD). The ability of Active Share to predict four-factor alpha is more than five times smaller after FD. More active funds embed a higher degree of private information into prices of traded stocks, and the extent to which these funds affect price informativeness diminishes in the post-FD era. Stocks traded by more active funds exhibit a higher degree of information asymmetry, and this relationship also weakens after FD. Our findings suggest that one of the channels through which more active funds generated a higher alpha before FD was through the selective disclosure of information.

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更活跃的基金是否仍能获得更高的业绩？随着时间的推移，来自 Active Share 的证据

我们发现，监管公平披露（FD）通过后，活跃度与未来基金业绩之间的关系显着减弱。在 FD 之后，Active Share 预测四因子 alpha 的能力要小五倍以上。更活跃的基金将更高程度的私人信息嵌入到交易股票的价格中，这些基金对价格信息量的影响程度在后FD时代减弱。更活跃的基金交易的股票表现出更高程度的信息不对称，并且这种关系在FD后也减弱了。我们的研究结果表明，更活跃的基金在 FD 之前产生更高 alpha 的渠道之一是选择性披露信息。