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Till death (or divorce) do us part : early-life family disruption and fund manager behavior
Betzer, André; Limbach, Peter; Rau, P. Raghavendra; … - 2019
We show that early-life family disruption (death or divorce of a parent) causes fund managers to be more risk averse …-treated managers. This effect is most pronounced for managers who experienced family disruption during their formative years or who had …
Persistent link: https://www.econbiz.de/10011989092
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Mutual fund flows, expected returns, and the real economy
Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...
Persistent link: https://www.econbiz.de/10008902922
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Mutual fund investment horizon and performance
Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2015
This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...
Persistent link: https://www.econbiz.de/10011307799
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Revealed Beliefs about Responsible Investing : Evidence from Mutual Fund Managers
Orlov, Vitaly; Ramelli, Stefano; Wagner, Alexander F. - 2023
What do asset managers believe regarding the financial performance of Environmental, Social, and Governance (ESG) investment strategies? We address this question by exploring the relationship between fund managers’ co-ownership and portfolio ESG performance. Managers with more “skin in the...
Persistent link: https://www.econbiz.de/10014258375
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The impact of green investors on stock prices
Cheng, Gong; Jondeau, Eric; Mojon, Benoît; Vayanos, Dimitri - 2024
We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active...
Persistent link: https://www.econbiz.de/10014486513
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Purchase and redemption decisions of mutual fund investors and the role of fund families
Jank, Stephan; Wedow, Michael - 2010
fund families show higher sales and redemption rates. Further family size also affects the flow-performance relationship …: Investors in large families punish bad performance more. Last, we find that inner family rankings play an important part for … redemptions, with investors strongly redeeming their shares from intra-family losers. -- Mutual Funds ; Fund Family ; Flow …
Persistent link: https://www.econbiz.de/10008666514
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Obfuscation, learning, and the evolution of investor sophistication
Carlin, Bruce Ian; Manso, Gustavo - 2009
We develop a dynamic model to study the interaction between obfuscation and investor sophistication in retail financial markets. Taking into account different learning mechanisms within the investor population, we characterize the optimal timing of obfuscation for a profit-maximizing monopolist....
Persistent link: https://www.econbiz.de/10003971343
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The relation of the disposition effect to mutual fund trades and performance
Cici, Gjergji - 2011
We document that, on average, U.S. equity mutual funds prefer realizing capital losses rather than capital gains. A substantial fraction of the sample, however, exhibits the opposite tendency of realizing gains more readily than losses. The documented tendency for this subset appears to be due...
Persistent link: https://www.econbiz.de/10008904694
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Window dressing in mutual funds
Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2014
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...
Persistent link: https://www.econbiz.de/10010363240
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Window dressing in mutual funds
Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2013 - First Version: March 31, 2011, This version: July 26, 2013
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...
Persistent link: https://www.econbiz.de/10009784848