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Family matters : ranking within fund families and fund inflows

Kempf, Alexander; Ruenzi, Stefan - 2004

This paper examines the influence of the position of a fund within its family on its subsequent net-inflows. Our … empirical study of the US equity mutual fund market shows that reaching a top position within the family leads to large inflows … moves into the top positions within its family from one year to another. These results lead to competition within the fund …

Persistent link: https://www.econbiz.de/10009524827

Trading Efficiency of Fund Families : Impact on Fund Performance and Investment Behavior

Cici, Gjergji - 2016

trading of affiliated funds. We estimate the trading efficiency of a fund family's trading desk as the difference between the … gross return of the family's index fund, which incorporates trading costs, and the return of the underlying index, which …

Persistent link: https://www.econbiz.de/10013005757

Tournaments in mutual fund families

Kempf, Alexander; Ruenzi, Stefan - 2004

position within their fund family. The direction of the adjustment crucially hinges on the competitive situation within a … family. Funds from small families behave in the opposite way than funds from large families. The results are very robust …

Persistent link: https://www.econbiz.de/10009524829

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...

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

Business Cycles and Mutual Fund Timing Performance : An Application of Regime Switching and GARCH Modeling

Qiu, Judy - 2011

In this paper, we study mutual fund performance in terms of timing ability with daily data from 1998 to 2009. A novel timing model is proposed by incorporating the regime-switching framework into the Treynor and Mazuy (1966) model. The volatility follows a generalized autoregressive conditional...

Persistent link: https://www.econbiz.de/10013121309

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - 2015 - This version: August 14, 2015

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation reflecting time-varying flight-to-quality behavior of...

Persistent link: https://www.econbiz.de/10011308600

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2014 - This version: August 28, 2014

Persistent link: https://www.econbiz.de/10010403525

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - 2014 - This version: December 12, 2014

Persistent link: https://www.econbiz.de/10010459209

The cross-Section of German stock returns : new data and new evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - 2010

This paper serves two purposes. First, we introduce a new data set on the German stock market which is publicly available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a momentum factor) as well as returns of portfolios which are...

Persistent link: https://www.econbiz.de/10008666515

Determinants of expected stock returns : large sample evidence from the German market

Artmann, Sabine; Finter, Philipp; Kempf, Alexander - 2010

This paper conducts a comprehensive asset pricing study based on a unique dataset for the German stock market. For the period 1963 to 2006 we show that two value characteristics (book-to-market equity, earnings-to-price) and momentum explain the cross-section of stock returns. Corresponding...

Persistent link: https://www.econbiz.de/10008666529