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Investors' expectations, management fees and the underperformance of mutual funds
Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 345-379
Persistent link: https://www.econbiz.de/10010472812
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Investors' expectations, management fees and the underperformance of mutual funds
Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - 2012
Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...
Persistent link: https://www.econbiz.de/10009561613
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Mutual fund performance and performance persistence : the impact of fund flows and manager changes
Lückoff, Peter - 2011 - 1. ed.
Persistent link: https://www.econbiz.de/10008798107
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Risk taking by mutual funds as a response to incentives
Chevalier, Judith A. - In: Journal of political economy 105 (1997) 6, pp. 1167-1200
Persistent link: https://www.econbiz.de/10001232756
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Scale and skill in active management
Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A. - In: Journal of financial economics 116 (2015) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10011347321
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An analysis of the mutual fund industry : mutual fund investors, mutual fund managers and mutual fund companies
Fang, Jieyan - 2012
Persistent link: https://www.econbiz.de/10009632067
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Time-Varying Loss Aversion of Mutual Fund Managers as a Response to Incentives
Liu, Liyuan; Pantelous, Athanasios A.; Xie, Yuxin; Zheng, Lu - 2022
Using detailed mutual fund holdings in the US market, we estimate active mutual fund managers’ loss aversion as a …. We further find managers' loss aversion is higher when past fund flows were high and lower when past fund flows were … that managers compete for greater inflows strategically while exhibiting self-interested choices …
Persistent link: https://www.econbiz.de/10014245005
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Window dressing in mutual funds
Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2014
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...
Persistent link: https://www.econbiz.de/10010363240
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Window dressing in mutual funds
Agarwal, Vikas; Gay, Gerald D.; Ling, Leng - 2013 - First Version: March 31, 2011, This version: July 26, 2013
We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...
Persistent link: https://www.econbiz.de/10009784848
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What drives mutual fund flows : profit or panic?
Bu, Qiang; Lacey, Nelson J. - In: Review of accounting & finance 12 (2013) 1, pp. 4-22
Persistent link: https://www.econbiz.de/10010126726