Similar Search Results

Garleanu, Nicolae - 2020

We model how investors allocate between asset managers, managers choose their portfolios of multiple securities, fees are set, and security prices are determined. The optimal passive portfolio is linked to the “expected market portfolio,” while the optimal active portfolio has elements of...

Persistent link: https://www.econbiz.de/10012851298

The performance of corporate-bond mutual funds : evidence based on security-level holdings

Cici, Gjergji; Gibson, Scott - 2010

This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection...

Persistent link: https://www.econbiz.de/10008748159

Missing the marks? : dispersion in corporate bond valuations across mutual funds

Cici, Gjergji; Gibson, Scott; Merrick, John J. - 2010 - First Draft: November 2007, This Draft: July 14, 2010

We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have contributed to the general decline in dispersion over our...

Persistent link: https://www.econbiz.de/10008760338

Speed of information diffusion within fund families

Cici, Gjergji; Jaspersen, Stefan; Kempf, Alexander - 2015 - This Draft: July 2015

We document that the speed of information dissemination within mutual fund families positively affects the performance … of member funds. This suggests that the resulting benefits of higher information precision far outweigh free-riding costs … associated with fast internal dissemination. The performance effect intensifies when information travels across managers from …

Persistent link: https://www.econbiz.de/10011296785

Missing the marks? Dispersion in corporate bond valuations across mutual funds

Cici, Gjergji; Gibson, Scott; Merrick, John J. - 2010

Persistent link: https://www.econbiz.de/10010303834

The performance of corporate-bond mutual funds: Evidence based on security-level holdings

Cici, Gjergji; Gibson, Scott - 2010

Persistent link: https://www.econbiz.de/10010303835

The relation of the disposition effect to mutual fund trades and performance

Cici, Gjergji - 2011

We document that, on average, U.S. equity mutual funds prefer realizing capital losses rather than capital gains. A substantial fraction of the sample, however, exhibits the opposite tendency of realizing gains more readily than losses. The documented tendency for this subset appears to be due...

Persistent link: https://www.econbiz.de/10008904694

Betting against beta

Frazzini, Andrea; Pedersen, Lasse Heje - 2012

"We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin...

Persistent link: https://www.econbiz.de/10009558371

Speed of information diffusion within fund families

Cici, Gjergji; Jaspersen, Stefan; Kempf, Alexander - 2015 - This Draft: February 2015

We examine how speed of information diffusion within mutual fund families affects the performance and trading behavior … of the corresponding member mutual funds. Timely information flows within the organization lead to better fund … performance, and even more so when information flows across funds with different rather than similar investment styles …

Persistent link: https://www.econbiz.de/10010471723

Valuation in over-the-counter markets

Duffie, Darrell (contributor); Garleanu, Nicolae (contributor) - 2006

Persistent link: https://www.econbiz.de/10003726918