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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

Mutual Fund Performance and Flows During the COVID-19 Crisis

Pastor, Lubos - 2020

We present a comprehensive analysis of the performance and flows of U.S. actively-managed equity mutual funds during the COVID-19 crisis of 2020. We find that most active funds underperform passive benchmarks during the crisis, contradicting a popular hypothesis. Funds with high sustainability...

Persistent link: https://www.econbiz.de/10012481406

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

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

Myers, Mary Margaret - 2001

expenses associated with the actively-managed funds that they are mimicking opportunity to invest in assets that managers …

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

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

Skill and Fees in Active Management

Stambaugh, Robert F. - 2019

Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more …-skilled managers earn more revenue than less-skilled managers, greater skill for active managers overall can imply less revenue for … their industry. Greater skill allows managers to identify mispriced securities more accurately and thereby make better …

Persistent link: https://www.econbiz.de/10012479976

Dumb Money : Mutual Fund Flows and the Cross-Section of Stock Returns

Frazzini, Andrea - 2005

We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money -- by reallocating across different mutual funds, retail investors reduce their wealth in the long...

Persistent link: https://www.econbiz.de/10012467153

Cross-Asset Information Synergy in Mutual Fund Families

Auh, Jun Kyung - 2020

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within a mutual fund family exhibit a significant...

Persistent link: https://www.econbiz.de/10012479150

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

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...

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

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