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Spillover Effects In Mutual Fund Companies
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Book Synopsis Spillover Effects in Mutual Fund Companies by : Clemens Sialm
Download or read book Spillover Effects in Mutual Fund Companies written by Clemens Sialm and published by . This book was released on 2011 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our paper investigates spillover effects across different business segments of publicly traded mutual fund management companies. We find that the prior stock price performance of the management company has a significant impact on the money flows and the management turnover of the affiliated mutual funds. Mutual funds managed by poorly performing firms experience unexpectedly low flows of new money and exhibit a significantly higher attrition of fund managers even if the mutual funds themselves performed well. Our results remain strong for companies where mutual funds account for only a small fraction of the overall revenues and hold for both equity and bond mutual funds. These results indicate that the financial health of a diversified firm has a significant impact on the prospects of the various business segments.
Book Synopsis Spillover Effects of Marketing in Mutual Fund Families by : Marno Verbeek
Download or read book Spillover Effects of Marketing in Mutual Fund Families written by Marno Verbeek and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the presence of spillover effects of marketing in mutual fund families. We find that funds with high marketing expenses generate spillovers, and enhance cash inflows to family members with low marketing expenses. In particular, low-marketing funds that are operated by a family with high marketing expenses have substantially larger inflows after positive returns than otherwise similar funds that are operated by a family with low marketing expenses, while they have smaller outflows after negative returns. One way to interpret the spillovers is that they are a by-product of individual fund marketing whereby the entire family is made more visible to investors. An alternative explanation of this observation is that funds with low marketing expenses are directly subsidized by family members with high marketing expenses. We develop and perform a set of tests to evaluate these two alternative hypotheses. The results of all tests support the subsidization hypothesis, and suggest that at least part of the spillovers can be attributed to favoritism. These results suggest that conflicts of interest between investors and fund families have been exacerbated by competition in the mutual fund industry.
Book Synopsis The Spillover Effect of Managerial Taxes on Mutual Fund Risk-taking by : Anna Theresa Bührle
Download or read book The Spillover Effect of Managerial Taxes on Mutual Fund Risk-taking written by Anna Theresa Bührle and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: When faced with higher managerial taxes, mutual fund managers who personally invest in the funds they manage take on greater risk. By exploiting the enactment of the American Taxpayer Relief Act 2012 as an exogenous tax shock, we observe that co-investing fund managers increase risk-taking by 8%. Specifically, these managers adjust their portfolios by investing in stocks with higher beta. The observed effect appears to be driven by agency incentives, particularly for funds with a more convex flow-performance relationship and for managers who have underperformed compared to their peers in the past two years. Such tax-induced behavior is associated with negative fund performance. We highlight the role of co-investment in transmitting managerial tax shocks to mutual funds.
Book Synopsis The Advertising Spillover Effect by : An-Pin Wei
Download or read book The Advertising Spillover Effect written by An-Pin Wei and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior studies have found that a firm's advertising for one of its products can spill over and enhance sales for other existing products with the same brand name. This study examines whether the advertising spillover effect exists in the mutual fund market. The evidence shows that advertised funds in a fund family can significantly increase the cash flows of other higher-performing funds in the same family but not for those funds with middle and lower performance. For the fund family's advertising, results indicate that fund family's advertising can significantly increase the family cash flows for large fund families but not for those small fund families.
Book Synopsis Three Essays on the Strategies of Mutual Funds by : Zhi Wang
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:
Book Synopsis Spillover Effects in SRI Fund Families by : Fajri Adrianto
Download or read book Spillover Effects in SRI Fund Families written by Fajri Adrianto and published by . This book was released on 2019 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates spillovers in cash flow to SRI funds within the fund family due to the existence of a star (poor) performing peer SRI fund. Using a sample of SRI funds domiciled in the U.S. and considering survivorship, we find a positive spillover effect from having a star SRI fund on the monthly cash flow of their SRI siblings. However, the reverse is not found in the presence of a poor SRI performer. The spillover effect is more pronounced in SRI funds with a lower opportunity set, as shown by the higher contribution of the star (poor) performers to the flow of combined-ESG and environmental funds. Having a star conventional fund provides insignificant contributions to the flow of SRI siblings, suggesting that SRI investors are concerned only with the performance of SRI funds. Further, the magnitude of the spillover effect in SRI fund families is lower than in conventional fund families.
Book Synopsis Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales by : Pekka Honkanen
Download or read book Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales written by Pekka Honkanen and published by . This book was released on 2019 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the extent of cross-asset learning in financial markets by examining spillover effects around mutual fund fire sales. We find that the well-documented impact-reversal pattern for the returns of fire sale stocks (e.g., Coval and Stafford, 2007) spills over onto the stock returns of economic peers with a magnitude that is around one fifth of the original effect. These spillovers extend to liquidity and are not explained by common funding shocks or the hedging activity of liquidity providers. We conclude that they represent information spillovers due to learning from prices, thus identifying cross-asset learning as an important driver for the commonality in returns and liquidity.
Book Synopsis Conflicts of Interest and Competition in the Mutual Fund Industry by : Ajay Khorana
Download or read book Conflicts of Interest and Competition in the Mutual Fund Industry written by Ajay Khorana and published by . This book was released on 2011 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual fund investors generally desire high risk-adjusted performance at low cost, which is not necessarily the objective of fund families. Fund families generally want to maximize assets under management (i.e., their market share) and the resulting management fees. This paper examines how these conflicting objectives affect competition and investor behavior in the mutual fund industry for the universe of U.S. mutual fund families over the period 1979-1998. Over this period, industry assets increased by a factor of twenty, the number of active fund families tripled, and the average market share of a family declined by two thirds. We find that price competition is important in the industry. Families that charge lower fees than the competition gain market share, but only if these fees are above average to begin with. Low-cost families do not lose market share by charging higher fees. In addition, fees charged explicitly for marketing and distribution (12b-1 fees) have a positive impact on market share. We find no evidence that investors derive any benefit from 12b-1 fees. Product differentiation strategies are also effective in obtaining market share. Families that perform better, and start more funds relative to the competition (a measure of innovation) have a higher market share. Innovation is rewarded more if the new fund is more differentiated from existing offerings and is in a less crowded objective. Finally, market share within an investment objective is driven primarily by a family's policies within that objective, but there are important performance spillover effects from other funds in the family. Our findings are robust to various tests for endogeneity of the explanatory variables. Overall, this paper highlights a number of conflicts between fund families and investors.
Book Synopsis Overconfidence Among Professional Investors by :
Download or read book Overconfidence Among Professional Investors written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine overconfidence among equity mutual fund managers. While overconfidence has been extensively documented among retail investors, evidence from professional investors is scarce. Consistent with theories of overconfidence, we find that fund managers trade more after good past performance. The higher trading activity after good performance is driven by individual portfolio performance, while the market performance has no significant impact. We find no spillover effects from one good performing fund on the turnover ratios of the other funds the same manager manages, suggesting that managerial overconfidence is task-specific. Our results are not consistent with an increase in trading activity by fund managers when rational Bayesian learning has informed them about their abilities. -- Professional Investors ; Overconfidence ; Behavioral Biases ; Mutual Funds
Download or read book Hedge Fund Activism written by Alon Brav and published by Now Publishers Inc. This book was released on 2010 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Fund Activism begins with a brief outline of the research literature and describes datasets on hedge fund activism.
Book Synopsis Estimating Bilateral Exposures in the German Interbank Market by : Christian Upper
Download or read book Estimating Bilateral Exposures in the German Interbank Market written by Christian Upper and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk associated with interbank lending may lead to domino effects, where the failureKreditrisiken aus Interbankbeziehungen können zu Dominoeffekten führen indem der.
Book Synopsis Managerial Replacements in Mutual Fund Families by : Jerry T. Parwada
Download or read book Managerial Replacements in Mutual Fund Families written by Jerry T. Parwada and published by . This book was released on 2015 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines managerial replacements made by mutual fund families. Using a unique hand-collected dataset of 5,242 managerial replacement events from 1990 to 2011, this study finds fund's performance and flow ranking at the fund family level form the basis of mutual fund families' disciplinary decisions. Specifically, mutual fund families are more likely to replace fund managers ranked at the bottom of fund families in terms of performance and flows. While this study does not observe any spillover effect of replacing bottom performing managers, the replacement of top performing managers generates negative spillover (both performance and flows) effects on other funds in the family. In further tests, this study finds managerial replacements to be more prevalent in larger fund families and families with high turnover ratios. Finally, the replacement of bottom performing managers explain future families' performance and money flows, suggesting that there is economic value attached to the monitoring activities of mutual fund families.
Book Synopsis Why Do Mutual Fund Advisory Contracts Change? Fund Versus Family Influences by : Jerold B. Warner
Download or read book Why Do Mutual Fund Advisory Contracts Change? Fund Versus Family Influences written by Jerold B. Warner and published by . This book was released on 2006 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine changes in equity mutual funds' investment advisory contracts. Contracts generally pay the advisor a fee which is a percentage of the fund's total net assets. There are substantial advisory fee rate changes in both directions, with typical percentage fee shifts exceeding one-fourth. Our tests show that rate increases are associated with superior past market-adjusted performance, whereas rate decreases reflect economies of scale associated with growth. Consistent with family-level influences, there is clustering in the timing and direction of fee rate changes for funds in a given family. Economies of scale from family-level asset growth are reflected in lower advisory fees for individual funds. Superior (e.g., star) performance for individual funds has spillover effects and is associated with rate increases for a family's other funds. We also provide new evidence on fund and fund family choice between linear and piece-wise linear advisory contracts.
Book Synopsis RESEARCH ON THE SPILLOVER EFFECT OF SHAREHOLDING CHANGES OF INSURANCE COMPANIES ON VOLATILITY OF STOCK PRICES by : Hao Chen
Download or read book RESEARCH ON THE SPILLOVER EFFECT OF SHAREHOLDING CHANGES OF INSURANCE COMPANIES ON VOLATILITY OF STOCK PRICES written by Hao Chen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial supervision department has loosened restrictions on insurance company's holdings on capital market, aiming to give full play to the insurance funds which typically have the strengths of large scale, long investment horizon and stable supply. Nevertheless, some insurance companies carry out unfriendly behaviors through capital superiority, which may cause volatility of stock prices. Based on this, the paper mainly studies the insurance funds and volatility spillover of individual stocks as well as the entire capital market. This paper uses a framework of econometric methods based on vector autoregressive mode, and selects the 2016-2020 quarterly data from the SSE A-share disclosure. The results reveal that on one hand, price fluctuation has a unidirectional spillover effect on insurance companies' changes in ownership. On the other hand, insurance companies' changes in ownership also have a unidirectional spillover effect on volatility of the SSE index.
Book Synopsis Do Fire Sales Create Externalities? by : Sergey V. Chernenko
Download or read book Do Fire Sales Create Externalities? written by Sergey V. Chernenko and published by . This book was released on 2018 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop three novel measures of how much of the price impact of their trading different mutual funds internalize. We show that mutual funds that internalize more of their price impact hold larger cash buffers and use these buffers more aggressively to accommodate inflows and outflows. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the mutual fund industry.
Book Synopsis Diversification and Portfolio Management of Mutual Funds by : G. Gregoriou
Download or read book Diversification and Portfolio Management of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-17 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.
Book Synopsis Are there Spillover Effects From Munis? by : Mr.Rabah Arezki
Download or read book Are there Spillover Effects From Munis? written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2011-12-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the spillover effects both within the bond markets for individual U.S. states and between the latter and the market for U.S. Treasury securities. We perform the Forbes and Rigobon (2002) spillover test using daily bond yield data over the period 2005 to 2011. Results are twofold. First, we find that between most markets for individual U.S. state bonds there are negative spillovers. In other words, an increase in borrowing costs in one U.S. state results in better borrowing conditions for other states. Second, we find no substantial spillover effect between shocks originating from state securities and from federal markets, except for a few large issuers. Using causality tests in the frequency domain, we find that the Treasury bond market directly causes changes in the markets for municipal bonds in both the short and long run. There is also some evidence of causality from the municipal to the Treasury bond market, but only of a long-run nature. Our results shed some light on the policy debate on the nature of spillover effects within fiscal unions.
