Praktek Window Dressing Pada Reksa Dana Saham Di Indonesia Selama Periode 2001-2007
Fakultas Ekonomi Universitas Indonesia
During maintaining their assets, there is an indication that days surrounding every reporting date, which is the date at each year end, fund manager behaves differently from any other dates. Some researchers and analysts conclude this behavior as what-so-called window dressing, which is a practice to present the report in favor of the investors’ expectation. This study is intended to examine the existence of such behavior in Indonesia. Some of the signals that aid in proving the existence of window dressing are the turn-of-year factor, lagged returns, and fund’s objectives. The result of this study exhibits indications of turn-of-year factor and lagged return inclined to window dressing. This study fails to verify the indications of fund’s objective inclined to window dressing because of the changing objectives during the portfolio management.
Keywords: window dressing, turn-of-year effect, lagged return, fund’s objective
Attempts to make the report appear promising (favorable) for its users is often done by many companies in various industries. This practice can occur because users report only know the state of the object of the report at a specified time not all the time. In Indonesia, it is very common especially supported by the market that has not really efficient. Therefore, mutual funds also report a high chance to be the object of the practice, known as window dressing. In mutual funds, window dressing by fund managers to make a purchase or sale of securities held in a few days before the date of reporting to cover the performance during the period are not reported. In Indonesia, the mutual fund window dressing can occur for a detailed portfolio information can not be obtained each day of trading.