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Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry

Glode, Vincent - 2010

We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that...

Persistent link: https://www.econbiz.de/10013152571

Measuring the Timing Ability and Performance of Bond Mutual Funds

Chen, Yong - 2009

This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing … coefficients appear neutral to weakly positive. Adjusting for nonlinearity the performance of many bond funds is significantly …

Persistent link: https://www.econbiz.de/10013156539

Reaching for Yield in the Bond Market

Becker, Bo - 2013

important factor contributing to the credit cycle. This paper presents a detailed study of this phenomenon in the corporate bond … of bond and issuer controls, including bond liquidity and duration, and issuer fixed effects. This behavior is related to …

Persistent link: https://www.econbiz.de/10013084730

The Tax Advantages of Pension Fund Investments in Bonds

Black, Fischer - 2004

I believe that every tax-paying firm's defined benefit pension fund portfolio should be invested entirely in bonds (or insurance contracts). Although the firm's pension funds are legally distinct from the firm, there is a close tie between the performance of the pension fund investments and the...

Persistent link: https://www.econbiz.de/10012786236

The Behavior of Intoxicated Investors : The Role of Institutional Investors in Propagating the Crisis of 2007-2008

Manconi, Alberto - 2010

Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from … the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that … greater portions of their corporate bond holdings and in particular lower-rated bonds. In contrast, insurance companies sold …

Persistent link: https://www.econbiz.de/10013140999

It Pays to Set the Menu : Mutual Fund Investment Options in 401(K) Plans

Pool, Veronika Krepely - 2013

This paper investigates whether mutual fund families acting as trustees of 401(k) plans display favoritism toward their own funds. Using a hand-collected dataset on retirement investment options, we show that poorly-performing funds are less likely to be removed from and more likely to be added...

Persistent link: https://www.econbiz.de/10013087436

Defined Contribution Pension Plans : Sticky or Discerning Money?

Sialm, Clemens - 2013

Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. Yet, the participants' inertia could be offset by the DC plan sponsors, who adjust the plan's...

Persistent link: https://www.econbiz.de/10013073952

Measuring Institutional Investors’ Skill from Their Investments in Private Equity

Cavagnaro, Daniel - 2016

Using a large sample of institutional investors' private equity investments in venture and buyout funds, we estimate the extent to which investors' skill affects returns from private equity investments. We first consider whether investors have differential skill by comparing the distribution of...

Persistent link: https://www.econbiz.de/10012984744

Standing on the Shoulders of Giants : The Effect of Passive Investors on Activism

Appel, Ian - 2016

We analyze whether the growing importance of passive investors has influenced the campaigns, tactics, and successes of activists. We find activists are more likely to pursue changes to corporate control or influence (e.g., via board representation) and to forego more incremental changes to...

Persistent link: https://www.econbiz.de/10012982013

Investment Noise and Trends

Stambaugh, Robert F. - 2014

During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index-like investing. I develop an...

Persistent link: https://www.econbiz.de/10013054870