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Mutual fund investment horizon and performance

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2015

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

Persistent link: https://www.econbiz.de/10011307799

Redemption in kind and mutual fund liquidity management

Agarwal, Vikas; Ren, Honglin; Shen, Ke; Zhao, Haibei - 2021

Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rightsto redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several...

Persistent link: https://www.econbiz.de/10012818297

The effect of sentiment on institutional investors : a gender analysis

Gehde-Trapp, Monika; Klingler, Linda - 2022

In this paper, we explore whether male and female fund managers react differently to sentiment. Our main idea is that sentiment indicates mispricings of stocks relative to their fundamental values, and that rational fund managers should profit from these mispricings. As trading against the...

Persistent link: https://www.econbiz.de/10013332339

Implied cost of capital and mutual fund performance

Hendriock, Mario - 2020

a ICC-basedstrategy reflecting skill, family-level trading efficiency and manager-level SAT scorepositively correlate …

Persistent link: https://www.econbiz.de/10012387256

Holding horizon : a new measure of active investment management

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2020 - This draft: November, 2018

This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a...

Persistent link: https://www.econbiz.de/10012313020

The impact of duality on managerial decisions and performance : evidence from the mutual fund industry

Kempf, Alexander; Pütz, Alexander; Sonnenburg, Florian - 2013 - This version: October 2013

We study the decisions and performance of managers who are also chair of the board (duality managers). We hypothesize that duality managers take more risky decisions and deliver worse performance than non-duality managers due to reduced level of control and replacement risk. Using the mutual...

Persistent link: https://www.econbiz.de/10010194852

Indexing and the performance-flow relation of actively managed mutual funds

Lesmeister, Simon; Limbach, Peter; Rau, P. Raghavendra; … - 2022

We exploit the staggered introduction of index funds in different segments and countries to study how increased competition from indexing affects the performance-flow relation and incentives of actively managed equity mutual funds. An increase in the market shares of available country-level...

Persistent link: https://www.econbiz.de/10012818344

Knowledge spillovers in the mutual fund industry through labor mobility

Cici, Gjergji; Kempf, Alexander; Peitzmeier, Claudia - 2019

the competitive advantage of the originating fund family spills over to the recipient family. These knowledge spillovers … intensify when switching managers had better access to the organization processes of the originating family and frictions … information barriers at the recipient family - acting as mitigants for the aforementioned frictions - also magnify these knowledge …

Persistent link: https://www.econbiz.de/10011963359

Knowledge spillovers in the mutual fund industry through labor mobility

Cici, Gjergji; Kempf, Alexander; Peitzmeier, Claudia - 2018

. Almost two thirds of the competitive advantage of the originating fund family spills over to the recipient family. This … effect intensifies when the switching manager has amassed more organizational knowledge at the originating family …. Performance deterioration at the originating family suggests erosion of its competitive advantage, which intensifies when more …

Persistent link: https://www.econbiz.de/10011898208

Finding your calling : matching skills with jobs in the mutual fund industry

Cici, Gjergji; Hendriock, Mario; Kempf, Alexander - 2022

To best utilize labor, companies need to match employees’ skills with jobs that best fit those skills. Exploiting unique features of the mutual fund industry, we identify instances when this matching happens for fund managers and study its consequences. After fund managers are matched, they...

Persistent link: https://www.econbiz.de/10013337433