We examine portfolio credit quality holding and daily return patterns in a large sample of bond mutual funds and document significant evidence of window dressing. First, using portfolio credit quality holdings data, we find strong evidence that bond funds on average hold significantly more...

This paper documents that, consistent with the practice of window dressing, equity mutual funds exhibit atypical return behavior around fiscal year-ends. To identify atypical returns, residuals from a multiple-style index market model are generated for a sample of large equity mutual funds....