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Mutual Fund Trading Pressure : Firm-Level Stock Price Impact and Timing of SEOs
Khan, Mozaffar - 2013
We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying, buyers with excess liquidity, rather than what is being purchased. We document...
Persistent link: https://www.econbiz.de/10013092698
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Mutual Funds’ Aversion to Tax-avoiding Firms : An Anomaly?
Doellman, Thomas W. - 2019
. Furthermore, mutual funds' aversion to tax-avoiding firms persists regardless of the mutual funds' investment horizons …
Persistent link: https://www.econbiz.de/10012901997
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The Key to Long-Term Success : The Income Component of Returns
Institute, Brandes - 2015
countries. In this update, we expand our original findings and focus on today's investment environment.To examine the impact of …
Persistent link: https://www.econbiz.de/10013009910
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The Long and the Short : Portfolio Turnover Ratios & Mutual Fund Investment Time Horizons
Tucker, Anne M. - 2018
the PTR is an indirect measure, does not reflect fund flows, and excludes investment strategy considerations?Using a … unique data set of U.S. registered mutual funds from 2005–15, this Article finds that mutual fund investment time horizons … to seventeen months. Based on this analysis, scholars and policymakers may think of mutual fund investment time horizons …
Persistent link: https://www.econbiz.de/10012919977
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Capitalists or Fiduciary Conscious Agents? ESG Mutual Fund Fees and Investor Sophistication
Wei, Wei; Zalewska, Anna (Ania) - 2023
Gil–Bazo and Ruiz–Verdú (2009) show that fund families strategically exploit the low performance sensitivity of investors, i.e., investors’ low elasticity of demand with respect to performance, to increase fund fees. Given that environmentally, socially and governance (ESG) focused...
Persistent link: https://www.econbiz.de/10014256676
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The Returns to Early-Stage Investment in Innovation
Kisseleva, Katja - 2020
histories of each firm and study performance measures at the transaction and investment levels. Many investments result in total … differing returns even in the same investment. This arises not just because they invest on different terms, but because they … indicative of the market frictions associated with early-stage investment in innovation …
Persistent link: https://www.econbiz.de/10012824869
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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 … the investment style and of the risk level of the funds. Therefore, we interpret these high markups as resulting from the …
Persistent link: https://www.econbiz.de/10003966647
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Momentum Strategies of German Mutual Funds
Franck, Alexander - 2013
The existence of the momentum effect in stock returns has been documented for the U.S. (e.g., Jegadeesh and Titman, 1993) and many other national equity markets worldwide (e.g., Griffin et al., 2003). However, little is known about the active employment of momentum strategies among institutional...
Persistent link: https://www.econbiz.de/10013086580
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Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
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The Risk-free Rate and the Sensitivity of Mutual Fund Flows to Past Performance
De Jesus, Miguel - 2020
This study brings to light the new empirical fact that flows into US domestic equity mutual funds depend less on past fund returns when the risk-free rate declines. A one-percent drop in interest rates is associated with a decrease in the slope of the flow-performance relationship of around 10%....
Persistent link: https://www.econbiz.de/10012848842