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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database …
Persistent link: https://www.econbiz.de/10010373710
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Redemptions and asset liquidations in corporate bond funds
Dötz, Niko; Weth, Mark - 2019
is only significant if fund assets are sufficiently liquid. Second, the way that fund managers liquidate their bonds to … times of high uncertainty, managers of institutional-oriented funds sell bonds in a liquidity pecking order style, thereby …
Persistent link: https://www.econbiz.de/10011995042
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
Persistent link: https://www.econbiz.de/10012489580
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Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...
Persistent link: https://www.econbiz.de/10012500352
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Connected funds
Fricke, Daniel; Wilke, Hannes - 2020
Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...
Persistent link: https://www.econbiz.de/10012264505
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
evidence that this procyclical behavior is driven by career concerns among institutional fund managers. …
Persistent link: https://www.econbiz.de/10012250652
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Vulnerable asset management? : the case of mutual funds
Fricke, Christoph; Fricke, Daniel - 2017
Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...
Persistent link: https://www.econbiz.de/10011740280
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The spillover effect of managerial taxes on mutual fund risk-taking
Bührle, Anna Theresa; Yen, Chia-Yi - 2023 - First version: July 18, 2023
When faced with higher managerial taxes, mutual fund managers who personally invest in the funds they manage take on … co-investing fund managers increase risk-taking by 8%. Specifically, these managers adjust their portfolios by investing … more convex flow-performance relationship and for managers who have underperformed compared to their peers in the past two …
Persistent link: https://www.econbiz.de/10014323792
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Who creates and who bears flow externalities in mutual funds?
Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022
Using a unique dataset on the sectoral ownership structure of euro area equity mutual funds, we study how different investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual funds, are the main contributors to the flow...
Persistent link: https://www.econbiz.de/10013435221
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012607112