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Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Da, Zhi - 2008

We show that a mutual fund's "stock selection skill" computed using the Daniel, Grinblatt, Titman and Wermers (1997) procedure can be decomposed into additional components that include impatient "informed trading" and "liquidity provision," thereby helping us understand how a fund creates value....

Persistent link: https://www.econbiz.de/10012464038

Do After-Tax Returns Affect Mutual Fund Inflows?

Bergstresser, Daniel - 2000

This paper explores the relationship between the after-tax returns that taxable investors earn on equity mutual funds and the subsequent cash inflows to these funds. Previous studies have documented that funds with high pretax returns attract greater inflows. This paper investigates the relative...

Persistent link: https://www.econbiz.de/10012471174

Investor Reaction to Salient News in Closed-End Country Funds

Klibanoff, Peter - 1996

We provide a model of closed-end fund pricing which includes investors who do not form expectations correctly and allows for salient country-specific news to affect this expectation formation process. We use panel data on prices and net asset values of closed- end country funds to examine...

Persistent link: https://www.econbiz.de/10012473260

Marketing Mutual Funds

Roussanov, Nikolai - 2018

Marketing and distribution expenses are responsible for about a third of the cost of active management in the mutual … fund industry. We develop and estimate a structural model of mutual fund marketing with learning about unobserved skill and … costly investor search. Our estimates suggest that marketing is nearly as important as performance and fees for determining …

Persistent link: https://www.econbiz.de/10012480709

Mutual Fund Revenue Sharing in 401(k) Plans

Pool, Veronika K.; Sialm, Clemens; Stefanescu, Irina - National Bureau of Economic Research - 2022

Recordkeepers in DC pension plans are often paid indirectly in the form of revenue sharing from third-party funds on the menu. We show that these arrangements affect the investment menu of 401(k) plans. Revenue-sharing funds are more likely to be added to the menu and are less likely to be...

Persistent link: https://www.econbiz.de/10013477213

Glass Box Machine Learning and Corporate Bond Returns

Bell, Sebastian; Kakhbod, Ali; Lettau, Martin; Nazemi, … - National Bureau of Economic Research - 2024

Machine learning methods in asset pricing are often criticized for their black box nature. We study this issue by predicting corporate bond returns using interpretable machine learning on a high-dimensional bond characteristics dataset. We achieve state-of-the-art performance while maintaining...

Persistent link: https://www.econbiz.de/10015171721

On the Industry Concentration of Actively Managed Equity Mutual Funds

Kacperczyk, Marcin - 2004

Mutual fund managers may decide to deviate from a well-diversified portfolio and concentrate their holdings in industries where they have informational advantages. In this paper, we study the relation between the industry concentration and the performance of actively managed U.S. mutual funds...

Persistent link: https://www.econbiz.de/10012467920

Tax-Efficient Asset Management : Evidence from Equity Mutual Funds

Sialm, Clemens - 2015

Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily taxed and by avoiding realizing capital gains that trigger higher tax burdens to the funds'...

Persistent link: https://www.econbiz.de/10012457607

Copycat Funds : Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry

Myers, Mary Margaret - 2001

Mutual funds must disclose their portfolio holdings to investors semiannually. The costs and benefits of such disclosures are a long-standing subject of debate. For actively managed funds, one cost of disclosure is a potential reduction in the private benefits from research on asset values....

Persistent link: https://www.econbiz.de/10012470062

Evaluating and Investing in Equity Mutual Funds

Pastor, Lubos - 2000

Our framework for evaluating and investing in mutual funds combines observed returns on funds and passive assets with prior beliefs that distinguish pricing-model inaccuracy from managerial skill. A fund's alpha' is defined using passive benchmarks. We show that returns on non-benchmark passive...

Persistent link: https://www.econbiz.de/10012470971