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Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

fund families show higher sales and redemption rates. Further family size also affects the flow-performance relationship …: Investors in large families punish bad performance more. Last, we find that inner family rankings play an important part for … redemptions, with investors strongly redeeming their shares from intra-family losers. -- Mutual Funds ; Fund Family ; Flow …

Persistent link: https://www.econbiz.de/10008666514

Fund manager duality : impact on performance and investment behavior

Kempf, Alexander; Pütz, Alexander; Sonnenburg, Florian - 2012

Agency conflicts can arise when a fund manager also chairs the board of the fund. We examine the consequences of this fund manager duality using a broad sample of single managed US equity funds. We find that duality managers significantly underperform non-duality managers. This underperformance...

Persistent link: https://www.econbiz.de/10009579421

Are two business degrees better than one? : evidence from mutual fund managers' education

Andreu, Laura; Pütz, Alexander - 2012 - First Draft: February 2012, This Draft: March 2012

We analyze what a second business degree reveals about the investment behavior of professional investors. Specifically, we compare performance, risk, and style of equity mutual fund managers having a CFA designation and an MBA degree to managers with only one of these qualifications. We document...

Persistent link: https://www.econbiz.de/10009512771

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - 2011

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10008902928

The relation of the disposition effect to mutual fund trades and performance

Cici, Gjergji - 2011

We document that, on average, U.S. equity mutual funds prefer realizing capital losses rather than capital gains. A substantial fraction of the sample, however, exhibits the opposite tendency of realizing gains more readily than losses. The documented tendency for this subset appears to be due...

Persistent link: https://www.econbiz.de/10008904694

On the use of options by mutual funds : do they know what they are doing?

Cici, Gjergji; Palacios, Luis-Felipe - 2011

Using detailed holdings of exchange-traded options, we examine how mutual funds use options and how options affect portfolio performance and risk. Options users underperform nonusers by two to three percent per year. The underperformance is especially pronounced for funds that are heavy users of...

Persistent link: https://www.econbiz.de/10008991986

Window dressing in mutual funds

Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2011 - This version: March 31, 2011

This paper introduces two measures to investigate potential window-dressing behavior among mutual fund managers. We show that unskilled managers that perform poorly are more likely to window dress by strategically purchasing winner stocks and selling loser stocks near quarter ends. Further,...

Persistent link: https://www.econbiz.de/10008992003

On the use of options by mutual funds : do they know what they are doing?

Cici, Gjergji; Palacios, Luis-Felipe - 2013 - This version: February 26, 2013

Using detailed options holdings, we examine how mutual funds' use of options affects performance and risk. Using options generates, on average, no performance advantages. In fact, funds that follow certain distinct strategies underperformed. The only salutary impact is lower portfolio risk for a...

Persistent link: https://www.econbiz.de/10009714206

Seasonal asset allocation : evidence from mutual fund flows

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; … - 2013

Over the past 30 years, mutual funds have become the dominant vehicle through which individual investors prepare for retirement via defined contribution plans. Further, money market mutual funds, which hold $2.7 trillion as of September 2013, are now a major part of the cash economy in the U.S....

Persistent link: https://www.econbiz.de/10010223510