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Mutual funds and information diffusion : the role of country-level governance

Lin, Chunmei; Massa, Massimo; Zhang, Hong - 2014

also increases information asymmetry and reduces stock liquidity. It also intensifies the price impact and liquidity crunch …

Persistent link: https://www.econbiz.de/10010370657

Daily Momentum and Contrarian Behavior of Index Fund Investors

Massa, Massimo - 2001

We use a two-year panel of individual accounts in an Samp;P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms...

Persistent link: https://www.econbiz.de/10012742988

Daily Momentum And Contrarian Behavior Of Index Fund Investors

Goetzmann, William N.; Massa, Massimo - School of Management, Yale University - 1999

Abstract: We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in...

Persistent link: https://www.econbiz.de/10005587093

The Role of Institutional Investors in Propagating the Crisis of 2007-2008

Manconi, Alberto - 2013

and sold corporate bonds. Funds with negative flows or high liquidity needs liquidated more than others. Yield spreads …-issuer bonds held by unexposed investors. The findings suggest that liquidity-constrained investors with exposure to securitized …

Persistent link: https://www.econbiz.de/10013084912

The Role of Institutional Investors in Propagating the Crisis of 2007-2008

Manconi, Alberto - 2010

and had to liquidate portions of their portfolios due to their liquidity needs. When securitized bonds became “toxic” in … August 2007, mutual funds facing liquidity needs retained the now illiquid securitized bonds and sold their corporate bond … ratio threshold. These findings suggest that mutual funds with high liquidity needs that were left with exposure to now …

Persistent link: https://www.econbiz.de/10013151397

Supply Uncertainty of the Bond Investor Base and the Leverage of the Firm

Massa, Massimo - 2015

We examine the effect of the bond capital supply uncertainty of institutional investors (e.g., mutual bond funds and insurance companies) on the leverage of the firm using a novel dataset. Our main finding is that the supply uncertainty of the firm's bond investor base — measured as (i) the...

Persistent link: https://www.econbiz.de/10013035878

Short-Sale Constraints and the Pricing of Managerial Skills

Cheng, Si - 2015

We investigate the impact of the absence of short selling on the pricing of managerial skills in the mutual fund industry. In the presence of divergent opinions regarding managerial skills, fund managers can strategically use fees to attract only the most optimistic capital. The recognition of...

Persistent link: https://www.econbiz.de/10013036649

Behavioral Factors in Mutual Fund Flows

Massa, Massimo - 2001

metals suggests that this timing is not simply due to liquidity concerns, but rather to sentiment about the equity premium …

Persistent link: https://www.econbiz.de/10012742984

Index Funds and Stock Market Growth

Massa, Massimo - 2000

Our analysis of daily index fund flows indicates a strong contemporaneous correlation between fund inflows and Samp;P market returns. We also document a strong negative correlation between fund out flows and Samp;P market returns with the exception of outflows from a back-end load fund. These...

Persistent link: https://www.econbiz.de/10012743604

Investment Horizon of the Bond Investor Base and the Leverage of the Firm

Massa, Massimo - 2010

We examine the effect of the investor horizon of institutional bondholders (e.g., mutual bond funds and insurance companies) on the leverage of the firm using a novel dataset. Our main finding is that the investment horizon of the firm's bond investor base (measured as functions of (i) the...

Persistent link: https://www.econbiz.de/10012716683