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The determinants of mutual fund performance : a cross-country study
Ferreira, Miguel A. (contributor);  … - 2006
affected by scale. Our findings suggest that the adverse scale effects in the U.S. are related to liquidity constraints faced …
Persistent link: https://www.econbiz.de/10003394375
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False discoveries in mutual fund performance : measuring luck in estimated alphas
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009 - This version: April 2009
This paper develops a simple technique that controls for ldquo;false discoveries,rdquo; or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated...
Persistent link: https://www.econbiz.de/10003961716
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Global portfolio rebalancing and exchange rates
Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018
We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...
Persistent link: https://www.econbiz.de/10011875988
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Institutional corporate bond demand
Bretscher, Lorenzo; Schmid, Lukas; Sen, Ishita; Sharma, … - 2020
-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …
Persistent link: https://www.econbiz.de/10012421461
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Investors' misperception : a hidden source of high markups in the mutual fund industry
Hu, Shengsui; Malevergne, Yannick; Sornette, Didier - 2009
We develop a principal-agent model based on a sequential game played by a representative investor and a fund manager in an asymmetric information framework. The model shows that investors' perceptions of the fund market play the key role in the fund's fee-setting mechanism. The managers' true...
Persistent link: https://www.econbiz.de/10003966647
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Institutional investors and mutual fund governance : evidence from retail - institutional fund twins
Evans, Richard B.; Fahlenbrach, Rüdiger - 2011
Some investment advisors offer multiple versions of a fund with the same manager and highly correlated returns. But these twinʺ funds are separate portfolios for different investors with differing abilities to select and monitor managers. Using a matched sample of retail and institutional twin...
Persistent link: https://www.econbiz.de/10009295733
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Delegated portfolio management, optimal fee contracts, and asset prices
Sato, Yuki - 2015
This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...
Persistent link: https://www.econbiz.de/10011293478
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Mutual funds and risk disclosure : information content of fund prospectuses
Krakow, Jonathan; Schäfer, Timo - 2020
Mutual funds are mandated by the Securities and Exchange Commission (SEC) to disclose information on their investment objectives and risks. In this paper, we study the informational value of U.S. mutual funds' qualitative disclosures by analyzing the content of funds' prospectuses. First, we...
Persistent link: https://www.econbiz.de/10012271034
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Reassessing false discoveries in mutual fund performance: skill, luck, or lack of power? : a reply
Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2019 - This version: October 24, 2019
Andrikogiannopoulou and Papakonstantinou (AP; 2019) conduct an inquiry into the bias of the False Discovery Rate (FDR) estimators of Barras, Scaillet, and Wermers (BSW; 2010). In this Reply, we replicate their results, then further explore the bias issue by (i) using different parameter values,...
Persistent link: https://www.econbiz.de/10012134772
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Long/short equity hedge funds and systematic ambiguity
Gibson, Rajna; Ryabkov, Nikolay - 2014
This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...
Persistent link: https://www.econbiz.de/10010337996