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Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - Institut für Finanzmarktforschung, Wirtschafts- und … - 2015

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10011152748

Decision processes in German mutual fund companies: Evidence from a telephone survey

Drachter, Kerstin; Kempf, Alexander; Wagner, Michael - Institut für Finanzmarktforschung, Wirtschafts- und … - 2006

The performance of actively managed mutual funds is largely dependent upon the investment decisions of the responsible fund managers. However, little is known about the behavior of these managers. This survey study sheds light on the decision processes of German fund managers. The design of the...

Persistent link: https://www.econbiz.de/10010957199

Risk and return in convertible arbitrage: Evidence from the convertible bond market

Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2004

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

Persistent link: https://www.econbiz.de/10010957170

Managerial multitasking in the mutual fund industry

Agarwal, Vikas; Ma, Linlin - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013

We examine the determinants and consequences of the multitasking phenomenon in the mutual fund industry where fund managers simultaneously manage multiple funds. We show that wellperforming managers multitask either by taking over poorly performing funds within fund companies (i.e., acquired...

Persistent link: https://www.econbiz.de/10010957173

False discoveries in mutual fund performance: Measuring luck in estimated alphas

Barras, Laurent; Scaillet, Olivier; Wermers, Russ - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009

This paper develops a simple technique that controls for false discoveries, or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We...

Persistent link: https://www.econbiz.de/10010957175

The cross-section of conditional mutual fund performance in European stock markets

Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2012

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

Persistent link: https://www.econbiz.de/10010957200

Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry

Kempf, Alexander; Ruenzi, Stefan; Thiele, Tanja - Institut für Finanzmarktforschung, Wirtschafts- und … - 2008

We examine the influence on managerial risk taking of incentives due to employment risk and due to compensation. Our … depends on the relative importance of these incentives. When employment risk is more important than compensation incentives … loss. When employment risk is low, compensation incentives become more relevant and fund managers with a poor midyear …

Persistent link: https://www.econbiz.de/10010957204

The effect of socially responsible investing on portfolio performance

Kempf, Alexander; Osthoff, Peer - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007

More and more investors apply socially responsible screens when building their stock portfolios. This raises the question whether these investors can increase their performance by incorporating such screens into their investment process. To answer this question we implement a simple trading...

Persistent link: https://www.econbiz.de/10010957211

Status quo bias and the number of alternatives: An empirical illustration from the mutual fund industry

Kempf, Alexander; Ruenzi, Stefan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005

We examine the extent of the Status Quo Bias (SQB) in a real-world repeated decision situation. Individuals who are subject to a SQB tend to choose an alternative that was chosen previously (i.e. their status quo), even if it is not the optimal choice any more. We examine the US equity mutual...

Persistent link: https://www.econbiz.de/10010957217

On the usability of synthetic measures of mutual fund net-flows

Ber, Silke; Ruenzi, Stefan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2006

Due to a lack of data availability, numerous empirical studies on mutual fund flows (e.g. Sirri/Tufano (1998)) analyze synthetically derived flow measures. We show how good these measures can explain actual flows. We compare the measures suggested in the literature with the actual net-flows of...

Persistent link: https://www.econbiz.de/10010957223

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