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of fund managers. …
Persistent link: https://www.econbiz.de/10011549083
Exchange traded funds (ETFs) are one of the most influential financial innovations, reshaping the investment funds market in many countries, including Mexico. Due to their similar investment objectives, ETFs are considered substitutes for mutual funds. This paper examines the changes of the...
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The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I document that there is a positive and significant relationship...
Persistent link: https://www.econbiz.de/10012419383
We present evidence that equity momentum strategies are partially driven by positive-feedback trading intermediated via the mutual fund sector. We identify a U.S.-specific structural break to this channel that substantially weakened the relationship between fund flows and past style returns. As...
Persistent link: https://www.econbiz.de/10012582659
Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
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kombiniert acht bekannte Prädiktoren für die Erträge von Investmentfonds, um einen zusammengesetzten Fondsprädiktor zu erhalten …
Persistent link: https://www.econbiz.de/10012216436
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