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Author : Iordanis Karagiannidis
Publisher :
ISBN 13 :
Total Pages : 354 pages
Book Rating : 4.3/5 (129 download)
Download or read book Essays on Mutual Fund Performance and Organization written by Iordanis Karagiannidis and published by . This book was released on 2007 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu Xia
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Essays on Mutual Fund Performance and Predictability written by Yu Xia and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis consists of two essays on evaluating mutual fund performance and its predictability. In the first essay, I study the ex ante predictability of 12 well-known predictors for fund performance from investors' perspective. The 12 predictors cover three major categories: fund characteristics, fund performance, and holding-based activeness measures, which are constructed using real-time information. For performance evaluation, I exploit two types of fund picking strategies with either rule-based approach or machine learning methods and find that utilizing machine learning can deliver superior real-time economic gains for investors with fund short-term performance being the primary driver underlying predictability. Specifically, using variable selection methods such as LASSO and elastic net at individual predictor level can generate annual 1.3%-1.7% real-time alphas after adjusting for standard risk factors. The essay further examines whether real-world investors react to those well-known predictors when evaluating mutual fund performance. Using a novel approach to decomposing fund returns, I find that conditional on investors' usage of CAPM, investors react to the components of CAPM alpha implied by predictors in different ways, and investor reaction to predictive information embedded in predictors is stronger within aggressive growth funds. These results provide empirical support for Gârleanu and Pedersen (2018) and suggest ex ante predictability exists not due to lack of investor reaction but as the compensation for employing costly algorithms to identify skilled managers.The second essay examines how decision-making hierarchy in team-managed U.S. equity mutual funds affects their performance and risk-taking behavior. Employing a unique hand-collected dataset, we find that vertically-managed funds with lead managers earn 75 bps per year lower Fama-French five-factor alpha than their horizontally-managed counterparts. Moreover, vertically-managed funds hold less concentrated portfolios and are exposed to lower residual risk, thus showing signs of inferior security selection ability. Using mutual fund industry as a laboratory, the second essay provides evidence supporting a horizontal decision-making structure in organizations functioning in an uncertain expectation environment. These results echo similar mechanisms as in recent cross-country studies on the benefits of democratic form of government for country's economic growth"--
Author : Andrew John Caffrey
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (132 download)
Download or read book Essays on Investor and Mutual Fund Behavior written by Andrew John Caffrey and published by . This book was released on 2006 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on the relations among investors, mutual funds, and fund families. Chapter one presents a model of new fund openings as a function of the past performance of a family's existing funds. At the fund level, we model the relations among fund performance, investment flows, and the risk-taking behavior of the fund manager. Our model predicts that families dominated either by outperforming funds or by underperforming funds are more likely to open a new fund than are families composed of average performers. We predict that an asymmetric performance-fund flow relation combined with expected intra-family flows from existing underperformers to a new fund provide an incentive for families with severely under-performing funds to open a new fund in hopes of managing a `star'. Chapter two presents an empirical analysis of new fund openings. We study fund performance, investment flows, and risk level and examine the relation between the distribution of performance across funds within a family and new fund openings. We find that new fund openings are positively correlated with measures of both extreme underperformance and extreme outperformance of existing funds as well as measures of the number of `dog' funds within a family. The evidence supports our predictions in Chapter 1. Chapter three addresses the relation between advisory firm organization and mutual fund performance and expenses. Specifically, we hypothesize three relations. First, the ownership structure of a fund family--mutualized, privately held, or publicly owned--may impact fund manager behavior and be reflected in expenses and/or performance. Second, fund families may experience some net pecuniary benefit or harm as a result of subsidiary affiliation. Finally, we examine expense and performance differences across directly advised versus subadvised funds. We find evidence that publicly owned fund families provide investors with lower style-adjusted returns and alpha at higher cost than do privately owned or mutualized families. Similarly, we find that bank and insurance affiliates underperform their peers in both returns net of expenses and alpha net of expenses, and that diversified financial services affiliates outperform in these measures.
Author : Zhi Wang
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.3/5 (91 download)
Download or read book Three Essays on the Strategies of Mutual Funds written by Zhi Wang and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jongwan Bae
Publisher :
ISBN 13 : 9781321093599
Total Pages : 109 pages
Book Rating : 4.0/5 (935 download)
Download or read book Two Essays on the Behavior of Mutual Fund Managers written by Jongwan Bae and published by . This book was released on 2014 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: I conduct two studies that investigate the behavioral characteristics of mutual fund managers. First study, The Performance of Mutual Funds on Private Information, looks at the dimension of investment skills of fund managers. The investment skills of mutual fund managers can be assessed by their ability to generate private information. In this study, by investigating the simultaneous actions of fund managers and corporate managers, we estimate how much the actions of fund managers can be attributed to private information. Using the information of insiders' transactions as a proxy for the managers' private information, our performance measure, PS (Private Shares), captures variations in skills among fund managers, suggesting that the funds with higher PS outperform the funds with lower PS. The finding that PS is positively related to future fund performance is consistent with our conjecture that fund managers who actively trade on private information have better managerial skills than the ones that do not trade on private information. In the second study, Impact of Religious Belief on Asset Management Industry, we investigate the effects of religion on the investing behavior of fund managers. We propose a measure of corporate social responsibility propensity (CSRP) by fund managers that captures the level of a manager's tendency to invest in firms that engage in socially responsible activities. Grounded in the basis of ethics and morality, religious belief is shown to have a positive impact on a fund manager's investment in firms with good corporate social responsibility (CSR) performance. The positive association between religiosity and CSRP is particularly strong in the sample of non-institutional funds. On the performance aspect, we find that funds in the highly religious region with a higher propensity to invest in socially responsible firms tend to exhibit future performance deterioration. Our results suggest that local religiosity has a significant impact on the investing behavior of fund managers.
Author : Xuemei Guo
Publisher :
ISBN 13 :
Total Pages : 312 pages
Book Rating : 4.:/5 (992 download)
Download or read book Three Essays on Mutual Funds written by Xuemei Guo and published by . This book was released on 2017 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the determinants of mutual fund flows and mutual fund performance. The first chapter examines the response of fund investors to style volatility and the impact of style volatility on the flow-performance relationship. Three main empirical findings are obtained using both a portfolio approach and a multivariate regression approach. First, I find that there is a significant positive relationship between the style volatility and the subsequent fund flows to mutual funds. This finding can be interpreted as either fund managers having style timing ability or fund managers catering to investors preferences or tastes. Second, the positive relationship between past style volatility and fund flows is less pronounced for funds with superior past performance. Lastly, fund style volatility has a dampening effect on the flow-performance relationship: the flow-performance sensitivity weakens by 12% when the past style volatility increases by one standard deviation. It is likely that performance is perceived as a less informative signal of investment ability for fund managers who follow inconsistent styles over time. The second chapter studies how the response of fund investors to past risk varies over business cycles. I employ the NBER boom indicator, the Consumer Sentiment Index, and the National Activity Index to proxy for economic conditions. I find that mutual fund investors react differently to risk across economic environments. Funds with more volatile past returns discourage fund investors. The investors’ demand for actively managed funds is higher under good market conditions. Fund flows are less responsive to risk during expansionary economic periods. This finding may indicate that fund investors are risk averse and become less risk averse in good market states. The third chapter empirically examines whether mutual fund performance is affected by prior family performance. I propose two testable hypotheses: the information and resource sharing hypothesis and the cross-fund subsidization hypothesis. The empirical findings suggest that there is a significant positive relationship between prior family performance and subsequent fund performance. This finding is consistent with the hypothesis that mutual funds in the same family share informational resources. This positive relation also justifies the finding in the mutual fund flow literature that fund flows are higher for funds with higher past family performance. Furthermore, I find that the predictive power of the prior family performance is stronger in larger fund families.
Author : Pramodkumar Yadav
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Two Essays On Mutual Funds written by Pramodkumar Yadav and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay examines whether fund flows of mutual fund family employees are smart. Using hand-collected data on investment of fund family employees, I show that employee flows predict fund performance up to two years. Moreover, employee flows lead flows of other investors, but not vice versa, further indicating that employee flows are smart. The predictive power of employee flows is stronger when fund family employees are located close to fund managers, pointing to employees exploiting their proximity to managers to learn about the managers' skill or effort. The results do not appear to be driven by ownership changes of portfolio managers themselves, family cross-subsidization efforts, plan design, or employee sophistication.The second essay (with Daniel Dorn) examines psychological cost of team structure in mutual fund industry. We show that team-managed mutual funds have a greater propensity to sell winners and hold losers than solo funds. This propensity is costly as winners sold outperform losers held by 56bp during the next quarter relative to stocks with similar size, book-to-market, and momentum characteristics. Disposition effects are strongest when positions are initiated by a subset of the team who thus bears special responsibility. In contrast, there is no disposition effect when positions are initiated by all team members. This suggests that the difficulty of admitting mistakes to peers (vanity), rather than conformity to in-group pressures (groupthink), poses a costly challenge for teams.
Author : Lubomira Ivanova
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (663 download)
Download or read book Essays on Mutual Funds Performance written by Lubomira Ivanova and published by . This book was released on 2005 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter of my dissertation I present a survey of the literature on mutual fund performance. The first section of chapter one discusses two approaches to portfolio evaluation. The returns-based approach evaluates the net portfolio returns of the funds. The second, holdings-based approach, directly measures the stock-picking talent of mutual fund managers by focusing on manager's equity holdings. The second section of chapter one presents the literature on flows of funds and its relationship to portfolio evaluation.
Author : Fan Hu
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.:/5 (376 download)
Download or read book Three Essays in Measuring Mutual Fund Performance written by Fan Hu and published by . This book was released on 1997 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manel Kammoun
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (113 download)
Download or read book Essays on Mutual Fund Performance Evaluation with Clientele Effects written by Manel Kammoun and published by . This book was released on 2015 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies the performance evaluation of mutual funds from the point of view of their most favorable clienteles. It contains three essays in which we develop and adapt a performance measurement approach that accounts for investor disagreement and clientele effects to answer three research questions. In the first essay, we investigate investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. The measure is an upper performance bound in an incomplete market under the law-of-one-price condition and a no-good-deal condition that rules out investment opportunities with unreasonably high Sharpe ratios. We find that considering investor disagreement and focusing on the best potential clienteles lead to a generally positive performance for mutual funds. The total disagreement measured by the difference between upper and lower performance bounds is economically and statistically significant. In the second essay, we diagnose the validity of standard performance measures by comparing their alphas with the alpha from a performance measure that evaluates mutual funds from the point of view of their most favorable investors. The results show that unconditional linear factor models, their conditional versions and the law-of-one price measure give severe but admissible evaluations of fund performance. Consumption-based models suffer from an inadmissibility problem. The manipulation proof performance measure generates alphas that are sensitive to the choice of risk aversion parameter. In the third essay, we propose a clientele-specific performance evaluation based on the style preferences of mutual fund investors. Considering performance disagreement and better exploiting style classification data, we investigate eight measures to represent clienteles with favorable preferences for size and value equity styles. We find that funds assigned to size and value styles have neutral to positive average alphas when evaluated with their appropriate clientele-specific measure. The performance of the other funds is sensitive to the clienteles. Our findings support a significant role for style clienteles in performance evaluation.
Author : Leng Ling
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (262 download)
Download or read book Two Essays on Managerial Behaviors in the Mutual Fund Industry written by Leng Ling and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 1. Does mutual fund window-dressing promote fund flows?--I investigate the effectiveness of window-dressing as a potential strategy to be used by mutual fund managers to promote fund flows. Using a rank gap measure as a proxy for the likelihood that window-dressing has occurred, I find that fund investors as whole punish those managers who are suspected to have engaged in window-dressing. That is, I find a negative relation between the window-dressing measure and net fund flows in subsequent quarters after controlling for fund performance, size, expense ratio, and other pertinent characteristics. I also find that window-dressing leads to higher trading activities and lower fund performance. Essay 2. A life cycle analysis of performance and growth in U.S. mutual funds--I propose a five-stage growth model to describe the life cycle evolution of mutual funds and show that mutual funds exhibit distinctive performance, size, expense ratios, asset turnover, and other pertinent characteristics through stages of incubation, high-growth, low-growth, maturity, and decline. I also investigate the viability of managerial strategies to affect a fund's life cycle evolution and find that changing a declining fund's investment objective is effective in rejuvenating asset growth and thus repositioning the fund to younger life cycle stages. However, the strategy of adding portfolio managers appears to have no such rejuvenation effect.
Author : Robert Kosowski
Publisher :
ISBN 13 :
Total Pages : 374 pages
Book Rating : 4.:/5 (591 download)
Download or read book Essays on mutual fund performance written by Robert Kosowski and published by . This book was released on 2003 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ao Wang
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.4/5 (711 download)
Download or read book Two Essays on Mutual Fund Managerial Skills and Performance written by Ao Wang and published by . This book was released on 2021 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays that study mutual fund managerial skills and performance.Understanding whether mutual funds have skills is important as it could help investors make investment decision. My fist essay studies whether and how fund size affects managers' risk-taking behavior in the setting of fund mergers. I test the relation between fund size and risk-shifting. The main findings are as follows. First, acquiring fund managers' risk-taking declines as size increases resulting from mergers. The decline in risk-taking remains significant after controlling for fund characteristics, diversification effect, and portfolio's systematic risk exposure that can be correlated with managers' investment choices. Second, liquidity is a driving factor for the negative impact of size on managers' risk-taking. Third, I decompose fund size into two components based on either liquidity or risk-taking and examine which component(s) correlate with fund performance. I document that risk-taking is, beyond liquidity, another underlying mechanism for decreasing returns to scale.In the second essay, I study the timing ability of mutual funds in different sentiment periods. I first use DGTW (1997) style timing measure (CT) to examine if mutual funds perform better in high sentiment periods when stock mispricing is enlarged, providing more trading opportunities for mutual funds. Results show that mutual funds have better style timing ability in high sentiment than in low sentiment. The result is robust when I use alternative sentiment measures and different model specifications. Moreover, the style timing ability in high sentiment periods is more pronounced for less expensive funds with lower turnover and active shares. Then I investigate the source of this timing ability using 9 well-known stock return anomalies. I construct an anomaly timing measure (AT) using each of the 9 individual anomalies as well as the composite anomaly. AT is developed to detect whether fund managers could successfully time a certain anomaly. I find that mutual funds have better anomaly timing ability in composite anomaly and 4 contrarian anomalies which are investment-to-assets, asset growth, composite equity issue and net operating assets. Furthermore, I provide evidence that mutual funds with better timing abilities could outperform overall.
Author : Andrew A. Lynch
Publisher :
ISBN 13 :
Total Pages : 91 pages
Book Rating : 4.:/5 (872 download)
Download or read book Two Essays on Mutual Fund Performance written by Andrew A. Lynch and published by . This book was released on 2012 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these two essays, I examine the relation between mutual fund characteristics and fund performance. In the first essay, I test the impact of liquidity and liquidity risk on mutual fund returns. I find that equity funds with the most illiquid holdings outperform those with the most liquid holdings by as much as 4.40 percent annually. Funds with high liquidity beta only marginally outperform those with low liquidity beta on average. However, this outperformance is significantly stronger after excluding periods of extreme market illiquidity. Testing the liquidity and liquidity risk effects jointly reveals that both independently positively influence fund returns. In the second essay, I test the relation between fund fees and fund performance. Theory suggests that mutual fund fees should be positively related to before-fee returns (Berk and Green (2004)), while recent empirical work documents a negative relation (Gil-Bazo and Ruiz-Verdu (2009)). I find that the previously identified negative relation is not robust to alternative empirical specifications. Portfolio sorting and regression analysis with controls for fund characteristics find a positive relation between before-fee returns and expense ratios. I also find a positive relation between before-fee returns and management fees, the fee used to compensate fund managers. Extending the analysis to proxies for manager skill, I find a positive relation between fees and both trading skill and active share of holdings.
Author : Steve A. Nenninger
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (637 download)
Download or read book Three Perspectives of Mutual Fund Performance written by Steve A. Nenninger and published by . This book was released on 2009 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines mutual fund performance from the points of view of three distinct, but interrelated parties: individual investors, financial advisors, and the boards of directors of mutual fund companies. In the first essay, the flow-performance sensitivity of no-load funds and the three main classes of load fund shares are compared, assuming investment advisors are more likely to guide the decision-making process of load fund investors. In the second essay, the timing of the decision to replace fund managers is examined. In the third essay, performance of actively managed mutual funds are separately examined during good and bad states of the market to test whether mutual funds perform differently under different market conditions.
Author : Evangelos Benos
Publisher :
ISBN 13 : 9781109222821
Total Pages : 188 pages
Book Rating : 4.2/5 (228 download)
Download or read book Essays in Mutual Fund Performance, the Home Equity Bias and the Effects of Financial Frictions on Output and Occupational Choice written by Evangelos Benos and published by . This book was released on 2009 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we explore issues of mutual fund manager performance, we propose a factor that helps explain the home equity bias and theoretically explore the effects of such financial frictions as poor contract enforcement and intermediation costs on occupational choice and output.
Author : Thomas C. H. Sandvall
Publisher :
ISBN 13 : 9789515556110
Total Pages : 88 pages
Book Rating : 4.5/5 (561 download)
Download or read book Essays on Mutual Fund Performance Evaluation written by Thomas C. H. Sandvall and published by . This book was released on 1999 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
