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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 : Ning Ding
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (538 download)
Download or read book Three Essays on Mutual Funds written by Ning Ding and published by . This book was released on 2002 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dongmin Ke
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (838 download)
Download or read book Three Essays on Mutual Fund Investment Decisions written by Dongmin Ke and published by . This book was released on 2006 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Feng Dong
Publisher :
ISBN 13 :
Total Pages : 320 pages
Book Rating : 4.:/5 (13 download)
Download or read book Three Essays on Mutual Funds, Fund Management Skills, and Investor Sentiment written by Feng Dong and published by . This book was released on 2017 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ziwei Zhao (Researcher in economics)
Publisher :
ISBN 13 :
Total Pages : 131 pages
Book Rating : 4.6/5 (623 download)
Download or read book Three Essays in Finance written by Ziwei Zhao (Researcher in economics) and published by . This book was released on 2020 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three essays of my dissertation are in the asset pricing area. The first essay is on the topic of how the popularity of ETFs affects active mutual funds. The second essay is about individuals' risk preferences and how early childhood experience can shape one's risk preference. The third essay is on whether active managers' education can affect their skills. Recently, the media frequently quotes active managers who claim that ETFs impede their ability of generating prots. They argue that ETFs are draining liquidity from the market and making it harder for them to generate alphas. However, a recent paper by Ben-David et al.(2018) argues that ETFs generate new inefficiencies into the underlying stocks in ETFs. Thus the popularity of ETFs should provide more opportunities for active managers to generate alpha. My first essay find that the popularity of ETFs prompts active mutual fund managers to conduct more informed trades that generate alphas. Specifically, the trades of skilled active managers better predict the future performance of stocks after the passive ownership in those stocks increase. This paper directly addresses the question of whether ETF ownership affects market efficiency by considering new inefficiencies caused by passive ETFs and whether those inefficiencies create arbitrage opportunities for active mutual funds. The second essay (co-authored) studies how our early childhood interactions with parents shape our risk preferences. Specifically, recent literature argues that only the more recent macro-economic experiences matters in shaping our risk-taking behaviors (Malmendier and Nagel, 2011), which indicates that one's earlier childhood experience is not important. Using an IV setting, we find that parents' risk-taking positively affects children's risk-taking. More importantly, exploiting a finding that parents spend more quality time with their first child, we find that this effect we identified comes mainly from one's childhood interaction with her parents, confirming a nurturing channel. This parental effect doesn't fade away with time/when children move away from parents. The third essay looks at how a mutual fund manager's early personal experience, education, affects her skills to generate performance. By showing active mutual fund managers perform better in industries that are related to their education major, this paper provides evidence that active managers have skills in those industries that they have expertise in. The first essay focuses on the institutional investors; the second essay focuses on individual investors and their early experience; while the third essay links the first two by looking at one's early experience and how it affects institutional investors such as active fund managers.
Author : Laurenz Klipper
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (113 download)
Download or read book Three Essays on Mutual Funds written by Laurenz Klipper and published by . This book was released on 2018* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Saurin Patel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (87 download)
Download or read book Three Essays on Mutual Funds written by Saurin Patel and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Overall, our findings support the notion that team is a desirable form of organization as it helps weaken incentives to deceive." --
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 : Xuanjuan Chen
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (675 download)
Download or read book Three Essays on Stock Selection Ability and Agency Problem of Mutual Funds written by Xuanjuan Chen and published by . This book was released on 2005 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Pütz
Publisher :
ISBN 13 : 9783832531898
Total Pages : 0 pages
Book Rating : 4.5/5 (318 download)
Download or read book The Behavior of Institutional Investors written by Alexander Pütz and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutional investors such as mutual funds and hedge funds play an important role in today's financial markets. This thesis consists of three essays which empirically study the behavior of active fund managers. In particular, the first essay investigates whether managers behave rationally or if some of them unconsciously make wrong investment decisions due to behavioral biases. The second essay examines whether some managers intentionally act to solely advance their own interests by strategically valuing the security positions in their portfolio. The third essay analyzes what the managers' education reveals about their investment behavior.
Author : Stefan Jaspersen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (12 download)
Download or read book Information Advantages in the Mutual Fund Industry written by Stefan Jaspersen and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen Bradley Daughdrill
Publisher :
ISBN 13 :
Total Pages : 181 pages
Book Rating : 4.:/5 (922 download)
Download or read book Three Essays on the Informativeness of Investment Company Disclosure written by Stephen Bradley Daughdrill and published by . This book was released on 2015 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on the strategic qualitative disclosure decisions of hedge funds and mutual funds. The dissertation research seeks to contribute to a new understanding of the relationship between the content of fund filings and behavioral tendencies of fund stakeholders including management and investors. In the first essay, I evaluate the use of strategic disclosure by hedge fund management in order to conceal reporting inconsistencies. I inspect fund returns using a series of nine performance tests and identify a significant number of hedge funds with irregular return patterns. Using text-based analysis, I assess the qualitative content of strategy statements and find funds with suspicious performance produce distinct disclosure in regards to word choice. I conclude that these funds attempt to reduce detection by designing strategy descriptions that deviate from industry peers. My results come in contrast to prior evidence on herding tendencies and persist using alternative variable definitions and model specifications. The second essay investigates the impact of hedge fund strategic qualitative disclosure choices on fund investment. Specifically, I examine fund strategy descriptions using text-based analysis and study the relationship between the measures and hedge fund flows. In both the univariate and multivariate settings, I find strong evidence that the textual composition of fund filings can contribute to a fund's ability to attract investors. Overall, this essay finds support for the assertion that disclosure content influences investor decision-making. The findings are robust to alternative variable definitions and model specifications. In the third essay, I examine the effects of mutual fund filing composition on the ability of funds to attract investors. Using a large sample of U.S., open-ended mutual funds, I compute textual similarity and readability measures of the Investment Objective-Strategy and Principal Risk sections and examine the relationship with mutual fund flows. In the univariate setting, readability and similarity are drivers of mutual fund flows. After the inclusion of common fund flow controls and alternative model specifications, the explanatory power of the textual measures is partially reduced. Overall, I find mixed evidence that mutual fund investors use disclosure as a means to make investment decisions.
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 : Patrick Lehmann
Publisher :
ISBN 13 : 9783830072553
Total Pages : 276 pages
Book Rating : 4.0/5 (725 download)
Download or read book Three Essays on the Returns of German Stocks and Mutual Funds written by Patrick Lehmann and published by . This book was released on 2013 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Candy Sikes
Publisher :
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.:/5 (957 download)
Download or read book Three Essays in Finance written by Candy Sikes and published by . This book was released on 2014 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: In essay one, The Impact of Information Asymmetry on Stock Split Announcement Returns, using research and development expenses as a proxy for information asymmetry, we examine the impact of information asymmetry on stock split announcement returns to provide support for the signaling theory. We find no significant difference between the announcement returns of firms with research and development expenses and those firms without research and development expenses. If the signaling theory holds, there should be a difference in these announcement returns due to the different levels of information asymmetry. As a result, the signaling theory is not supported in the context of stock splits. In the second essay, Do Mutual Fund Closures Cause the Decline in Fund Performance after Closing?, we find that closing a mutual fund is not effective at protecting fund performance but it is also not the cause of the decline in fund performance. We find that closed mutual funds do not display a consistent return pattern between the period before and after a fund closing indicating that fund closures do not have a common motivation or result. We also find that a matched group of non-closed mutual funds exhibit a return pattern that is similar to the one observed in closed mutual funds. As a result, closing a fund does not cause the decline in fund performance that is typically observed when a mutual fund closes. In the third essay, Hedge Fund Performance Before and After Fund Closure, we find that even in the place of a compensation contract that is different from the compensation contract of mutual funds, hedge funds that close exhibit a significant decline in fund performance after closing to new investors. Similar to mutual funds that close, the closure of a hedge fund is ineffective at protecting performance but it also not the cause of the decline in fund performance. Closed hedge funds do not display a consistent return pattern between the period before and after a fund closure indicating that fund closures do not have a common motivation or result. Analysis of a matched group of non-closed hedge funds shows that these non-closed funds exhibit similar growth and return patterns around fund closure again indicating that the closure of a hedge fund does not cause the resulting performance decline.
Author : Katherine M. Upton
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.:/5 (88 download)
Download or read book Three Essays Regarding Choice in Finance written by Katherine M. Upton and published by . This book was released on 2014 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance is a social science with quantitative cornerstones. Therefore, the study of behavior and choice is particularly important in finance. This dissertation examines behavioral choices' impact on quantitative outcomes of firms and funds. The first essay investigates the career choices of fund managers and their impact on future fund performance. Using a unique sample of fund managers who began their career in the hedge fund industry and subsequently switched to manage mutual funds exclusively or entered into a side by side arrangement to simultaneously manage mutual funds along with their hedge fund, I examine factors that impact their career moves. The second essay focuses on a firm's choice regarding its public and private debt mix. Using a new comprehensive database that contains U.S. firm-level debt information, I examine models which address how the costs of monitoring and collecting information for the borrowers, the value of being able to renegotiate, project quality, firm ownership, and market externalities affect firms' public versus private debt mix. The final essay examines firms' choices regarding credit line usage. Bank lines of credit, or revolving credit facilities, are a crucial financing option available to corporations. This essay addresses why firms use credit lines, how much they draw on them, and what causes changes to the drawn amount.
Author : Hong Zhang
Publisher :
ISBN 13 :
Total Pages : 197 pages
Book Rating : 4.:/5 (254 download)
Download or read book Three Essays on Asset Pricing Anomalies, Investor Overreaction, and Mutual Fund Performance written by Hong Zhang and published by . This book was released on 2004 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt:
