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Liquidity Transformation in Asset Management : Evidence from the Cash Holdings of Mutual Funds

Chernenko, Sergey - 2016

We study liquidity transformation in mutual funds using a novel data set on their cash holdings. To provide investors … with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically … underlying portfolio assets. This is particularly true for funds with illiquid assets and at times of low market liquidity. We …

Persistent link: https://www.econbiz.de/10012456286

Cash Holdings and Credit Risk

Acharya, Viral V. - 2011

liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions …

Persistent link: https://www.econbiz.de/10012461663

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

Mutual Fund Performance with Learning Across Funds

Jones, Christopher S. - 2002

This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds. This will be true insofar as an investor's expectation about the performance of a fund is partly a belief about the abilities of mutual fund managers as...

Persistent link: https://www.econbiz.de/10012469311

Mutual Fund Flows and Performance in Rational Markets

Berk, Jonathan B. - 2002

We develop a simple rational model of active portfolio management that provides a natural benchmark against which to evaluate observed relationship between returns and fund flows. We show that many effects widely regarded as anomalous are consistent with this simple explanation. In the model,...

Persistent link: https://www.econbiz.de/10012469434

Hedge Funds With Style

Brown, Stephen J. - 2001

The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...

Persistent link: https://www.econbiz.de/10012470553

Conditioning Manager Alphas on Economic Information : Another Look at the Persistence of Performance

Christopherson, Jon A. - 1996

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers...

Persistent link: https://www.econbiz.de/10012472998

Diversification, Integration and Emerging Market Closed-End Funds

Bekaert, Geert - 1995

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan...

Persistent link: https://www.econbiz.de/10012473908

Fee Speech : Adverse Selection and the Regulation of Mutual Funds

Das, Sanjiv Ranjan - 1998

not correspondingly penalized for underperforming it. The rationale offered in defense of the regulation by both the SEC …

Persistent link: https://www.econbiz.de/10012472166

The Liquidity Cost of Private Equity Investments : Evidence from Secondary Market Transactions

Nadauld, Taylor D. - 2016

An important cost of investing in private equity is the illiquidity of these investments. In response to this illiquidity, a secondary market for transacting stakes in private equity funds has developed. This paper uses proprietary data from a leading intermediary to understand the magnitude and...

Persistent link: https://www.econbiz.de/10012456275

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