Exchange-traded funds (ETFs) are generally index-based funds that allow investors to buy or sell exposures to an index through a single financial instrument. ETF units are created and redeemed in-kind, rather than in-cash (as in the case of a unit trust fund). The in-kind creation and redemption...

Objective – Even though the unit trust industry witnessed high growth in portfolios size, performances and regulations, however, there is still insufficient understanding of various aspects of the industry such as the lack of information on the funds' unit price behavior and their trend in the...

This paper tests whether mutual funds on aggregate matter for the equilibrium stock returns due to (i) uncertain fund flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the aggregate shocks to fund flows enter the pricing kernel in...

This study examines the dynamic interaction among institutional investment (FII and Mutual Funds) and the stock market returns for India in a three factor vector autoregression (VAR) framework. The data set used in this study are in daily frequency spanning from 1st Jan 2002 to 31st July 2012...

The exchange traded funds (ETF) have gradually won over the investors' trust, becoming one of the most important financial novelties in recent years. This document proposes to analyse the instrument's characteristics and prerogatives, which – as we know – shows a particular market index and...

The exchange traded funds (ETF) have gradually won over the investors' trust, becoming one of the most important financial novelties in recent years. This document proposes to analyse the instrument's characteristics and prerogatives, which – as we know – shows a particular market index and...

Using a comprehensive dataset of hedge fund 13F filings, we analyze hedge fund trading from 1998-2010 to determine if investor redemptions cause fire sales and stock market disruptions. We find evidence of hedge fund fire sales in the two quarters with the worst stock market performance. During...

This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor–Mazuy and Henriksson–Merton as well as the Jiang non-parametric test. Based on the non-parametric approach, the...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...