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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

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

Agency costs and investor returns in private equity : consequences for secondary buyouts

Degeorge, François; Martin, Jens; Phalippou, Ludovic - 2013

Private equity firms increasingly sell companies to each other in secondary buyouts (SBOs). We examine commonly expressed concerns regarding SBOs using novel and unique datasets. SBOs made by buyers under pressure to spend capital (a minority of transactions) underperform and destroy value for...

Persistent link: https://www.econbiz.de/10010256966

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

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

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

Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?

Çötelioğlu, Efe - 2020

The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying … bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I … document that there is a positive and significant relationship between ETF ownership and liquidity commonality of investment …

Persistent link: https://www.econbiz.de/10012419383

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

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

Responsible institutional investing around the world

Gibson, Rajna; Glossner, Simon; Krüger, Philipp; … - 2020 - This version: December 2019

We explore a novel survey on responsible investing by institutional investors around the world and match it to archival data on their equity portfolio holdings. We document that institutions that publicly commit to responsible investing exhibit better environmental, social, and governance (ESG)...

Persistent link: https://www.econbiz.de/10012181356