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Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
Glode, Vincent - 2009
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/10012463611
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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/10012459752
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The Tax Advantages of Pension Fund Investments in Bonds
Black, Fischer - 1980
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/10012478602
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Momentum, Reversals, and Investor Clientele
Chui, Andy C. W.; Subrahmanyam, Avanidhar; Titman, Sheridan - National Bureau of Economic Research - 2021
Different share classes on the same firms provide a natural experiment to explore how investor clienteles affect momentum and short-term reversals. Domestic retail investors have a greater presence in Chinese A shares, and foreign institutions are relatively more prevalent in B shares. These...
Persistent link: https://www.econbiz.de/10012696362
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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/10012462465
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Standing on the Shoulders of Giants : The Effect of Passive Investors on Activism
Appel, Ian R. - 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/10012455973
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Measuring Institutional Investors’ Skill from Their Investments in Private Equity
Cavagnaro, Daniel R. - 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/10012456132
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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/10012459092
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It Pays to Set the Menu : Mutual Fund Investment Options in 401(k) Plans
Pool, Veronika K. - 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/10012459897
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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