Essays On Mutual Funds PDF Download
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| Author | : Pramodkumar Yadav |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2021 |
| Genre | : Finance |
| ISBN | : |
Download Two Essays On Mutual Funds Book in PDF, ePub and Kindle
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 | : Zhi Wang |
| Publisher | : |
| Total Pages | : 336 |
| Release | : 2004 |
| Genre | : Investments |
| ISBN | : |
Download Three Essays on the Strategies of Mutual Funds Book in PDF, ePub and Kindle
| Author | : Pengfei Ye |
| Publisher | : |
| Total Pages | : 228 |
| Release | : 2007 |
| Genre | : Investments |
| ISBN | : |
Download Essays on Mutual Funds Book in PDF, ePub and Kindle
| Author | : Anna Agapova |
| Publisher | : |
| Total Pages | : 102 |
| Release | : 2007 |
| Genre | : |
| ISBN | : 9781109966190 |
Download Two Essays on Mutual Funds Book in PDF, ePub and Kindle
The second essay examines implications of substitutability of two similar financial assets: conventional index mutual funds and exchange traded funds (ETFs). I seek to explain the coexistence of these fund types, since both offer a claim on the same underlying index return process, but have different organizational structures. This study compares conventional open-end index funds with matched ETFs on various underlying indexes. Aggregate flows are used to detect substitution and clientele effects. I show that conventional funds and ETFs are substitutes, while ETFs have smaller tracking errors and lower fund expenses. However, I find that these fund types are not perfect substitutes, and their coexistence can be explained by a clientele effect that segregates them into different market niches.
| Author | : Ao Wang |
| Publisher | : |
| Total Pages | : 112 |
| Release | : 2021 |
| Genre | : Mutual funds |
| ISBN | : |
Download Two Essays on Mutual Fund Managerial Skills and Performance Book in PDF, ePub and Kindle
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 | : Yu Xia |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2022 |
| Genre | : |
| ISBN | : |
Download Essays on Mutual Fund Performance and Predictability Book in PDF, ePub and Kindle
"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 | : |
| Publisher | : |
| Total Pages | : 256 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
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The first essay examines the relation between fund performance and stock selection process. I classify mutual funds into two groups according to their distinctive stock selection approaches: tire kickers who rely on fund managers' personal judgment and fundamental analysis to pick stocks, and quant jocks who use computer-based models to select stocks. I examine how the stock selection approach affects mutual fund performance and economies of scale. I document an increasing trend of quantitative techniques used by mutual funds, in addition to some unique characteristics of quant jocks. Quant jocks and tire kickers have similar factor-adjusted alphas, but quant jocks have higher Sharpe ratios. Quant jocks tend to be much smaller than tire kickers. I explore possible explanations for the size difference. I find that although quant jocks can cheaply screen a large universe of stocks, the stocks that quant jocks invest in are smaller and less liquid, which results in higher transaction costs and limited scalability of quantitative investment strategies. The second essay investigates mutual fund managers' private information about future stock returns as revealed in their portfolio holdings. Specifically, we develop three different stock alpha estimators to predict stock returns based on portfolio compositions and past performance of mutual funds. We find that investment strategies based on our stock alpha estimators perform well, when using information on recent fund holdings and fund purchases. This evidence suggests that fund managers' stock selection skills are quite persistent, and vary widely in the cross-section. We also compare our strategies with 12 quantitative investment signals based on market anomalies, and find that our strategies are not subsumed by these quantitative signals. Thus, our stock alpha estimators reflect private skills of active fund managers that are unrelated to known anomalies. Finally, we develop a conditional stock alpha estimator using information on stock characteristics and fund characteristics. Investment strategies based on the conditional stock alphas deliver further improved performance.
| Author | : Xiang Kang |
| Publisher | : |
| Total Pages | : 270 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
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This dissertation is composed of two empirical studies on mutual funds. Chapter 1 studies the implication of the timing of mutual fund entry for subsequent long-term fund performance. As fund companies choose when to open new funds and what investment styles they practice, these choices may be informative about the fund qualities. I empirically explore the relation between entrant fund performance and past style performance. By examining a sample of 2,801 mutual fund entrant during the period of 1991--2015, I find that entrant funds with investment styles that have recently performed well tend to underperform in the future. The post-entry performance of hot style entrants is worse than both the post-entry performance of cold style entrants and the concurrent performance of incumbents in the same style categories. The empirical findings are unlikely to be driven by stock-level return reversals or competition among mutual funds, but consistent with fund investors practicing style investing and extrapolating their beliefs on style returns, leading to lower entry thresholds for fund managers in hot investment styles. Chapter 2 includes my joint work with David Xiaoyu Xu on how regulations in the Chinese stock market can affect investor behavior in the mutual fund market. We show that trading suspension, a regulatory policy on stock trading activities, gives rise to stale mutual fund NAVs and indirectly affects fund investors' behavior. Using a sample of 3,205 long-term trading suspension events in China during 2004--2018, we find that opportunistic investors combine firm-specific news and fund portfolio reports to make investment decisions. Quarterly fund flows positively respond to suspended portfolio stocks' unrealized impact on fund NAVs. Such responses are stronger for impactful good news, and portfolio disclosure plays a key role in this mechanism. Our findings suggest the need for a better integrated financial regulatory framework in emerging markets
| Author | : Ning Ding |
| Publisher | : |
| Total Pages | : 318 |
| Release | : 2002 |
| Genre | : Mutual funds |
| ISBN | : |
Download Three Essays on Mutual Funds Book in PDF, ePub and Kindle
| Author | : Yves Trudel |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Essays on Closed-end Funds Book in PDF, ePub and Kindle
