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Is a Team Different from the Sum of its Parts?Evidence from Mutual Fund Managers

Bär, Michaela; Kempf, Alexander; Ruenzi, Stefan - Centre for Financial Research <Köln> - 2010

This paper provides the first empirical test of the diversification of opinions theory and the groupshift theory using real business data. Our data set covers management teams and single managersof US equity mutual funds. Our results reject the group shift theory and support thediversification...

Persistent link: https://www.econbiz.de/10009284845

Overconfidence among Professional Investors: Evidence from Mutual Fund Managers

Pütz, Alexander; Ruenzi, Stefan - Centre for Financial Research <Köln> - 2010

We examine overconfidence among equity mutual fund managers. While overconfidencehas been extensively documented among retail investors, evidence fromprofessional investors is scarce. Consistent with theories of overconfidence, we findthat fund managers trade more after good past performance....

Persistent link: https://www.econbiz.de/10009284853

Determinants and Implications of Fee Changes in the Hedge FundIndustry

Agarwal, Vikas; Ray, Sugata - Centre for Financial Research <Köln> - 2011

We examine the determinants and consequences of changes in hedge fund fee structures.We show that fee changes are asymmetric with much greater incidence of fee increasescompared to fee decreases. We find that managers of younger and smaller funds are morelikely to increase fees after good...

Persistent link: https://www.econbiz.de/10009284865

Window Dressing in Mutual Funds

Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - Centre for Financial Research <Köln> - 2011

This paper introduces two measures to investigate potential window-dressing behavior amongmutual fund managers. We show that unskilled managers that perform poorly are more likely towindow dress by strategically purchasing winner stocks and selling loser stocks near quarterends. Further, funds...

Persistent link: https://www.econbiz.de/10009284867

The Prevalence of the Disposition Effect inMutual Funds' Trades

Cici, Gjergji - Centre for Financial Research <Köln> - 2011

US equity mutual funds, on average, prefer realization of capital losses to capital gains. Nevertheless,a substantial fraction exhibits the disposition effect of realizing gains more readily than losses. Myanalysis suggests that learning effects have reduced the manifestation of the disposition...

Persistent link: https://www.econbiz.de/10009284869

Short Sale Constraints, Divergence of Opinion and Asset Value:Evidence from the Laboratory

Fellner, Gerlinde; Theissen, Erik - Centre for Financial Research <Köln> - 2011

The overvaluation hypothesis (Miller 1977) predicts that a) stocks are overvalued inthe presence of short selling restrictions and that b) the overvaluation increases in the degree ofdivergence of opinion. We design an experiment that allows us to test these predictions in thelaboratory. The...

Persistent link: https://www.econbiz.de/10009302608

Are There Disadvantaged Clienteles inMutual Funds?

Jank, Stephan - Centre for Financial Research <Köln> - 2011

This paper studies the flow-performance relationship of three di®erent investorgroups in mutual funds: Households, financial corporations, and insurance compa-nies and pension funds, establishing the following findings: Financial corporationshave a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10009302610

Market Response to Investor Sentiment

Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Centre for Financial Research <Köln> - 2010

-based sentiment indicators from twocountries (Germany and the US). Consistent with previous research we findthere is predictability at … over the intermediate and longterm. Given the widespread publication of sentiment indicators, smart investorsshould trade … intermediate time horizons. For the US, however,the predictability disappears after 1994. Using event study methodologywe find that …

Persistent link: https://www.econbiz.de/10009302612

Projected Earnings Accuracy and the Profitability of Stock Recommendations

Hess, Dieter; Kreutzmann, Daniel; Pucker, Oliver - Centre for Financial Research <Köln> - 2011

Analysts providing more accurate earnings forecasts also issue moreprofitable recommendations. We demonstrate how investors can profit fromthis contemporaneous link by differentiating between “able” and “lucky”analysts. In line with previous studies, we find that past track records...

Persistent link: https://www.econbiz.de/10009302619

Caught in the Act:How Hedge Funds Manipulate their Equity Positions

Cici, Gjergji; Kempf, Alexander; Puetz, Alexander - Centre for Financial Research <Köln> - 2011

Using 13F position valuations, we show that hedge fund advisors intentionallymismark their stock positions. We document manipulation even after eliminatingissues inherent in the pricing of illiquid securities. The documented mismarking isrelated to hedge fund incentives. Mismarking is more...

Persistent link: https://www.econbiz.de/10009302622