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Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Agarwal, Vikas; Mullally, Kevin; Tang, Yuehua; Yang, … - 2013

This paper studies the impact of mandatory portfolio disclosure of mutual funds on the liquidity of disclosed stocks and on fund performance. We consider a theoretical model of informed trading with different mandatory disclosure frequencies. Using a regulation change in May 2004 that increased...

Persistent link: https://www.econbiz.de/10009764572

Consumer reaction on tumbling funds : evidence from retail fund outflows during the financial crisis 2007/2008

Schmidt, Daniel; Schmielewski, Frank - 2012

Within this study we propose different measures to prove the influence of prior retail fund performance on fund flows. In contrast to previous literature, our work indicates that investors behave directly and in a selective manner by redeeming their shares of poor performing funds. By using a...

Persistent link: https://www.econbiz.de/10009409400

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Chinese pension fund investment efficiency : evidence from CNCSSF stock holdings

Lang, Gunnar; Shen, Yu; Xu, Xian - 2014

China’s pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from...

Persistent link: https://www.econbiz.de/10010233083

Risk disparity

Kritzman, Mark - 2013 - This version: April 30, 2013

Policy portfolios are a fixture of institutional investment management, but they may not serve the purposes for which they are intended. A policy portfolio serves primarily as an expression of an investor's return and risk preferences. Secondarily, it serves as a benchmark for determining the...

Persistent link: https://www.econbiz.de/10010195006

Portfolio delegation and market efficiency

Malamud, Semyon; Petrov, Evgeny - 2014

managers and convex compensation contracts. We show that convex incentives lead to significant equilibrium mispricing, but … internalize the externality that their contract choice has on equilibrium prices. As a result, equilibrium incentives may be too …' skill. Convex incentives amplify this negative externality. Indirect incentives due to future fund flows may induce …

Persistent link: https://www.econbiz.de/10010337960

Asset allocation and monetary policy : evidence from the eurozone

Hau, Harald; Lai, Sandy - 2013

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 2003-2010. We use this cross-country variation in the (local) tightness...

Persistent link: https://www.econbiz.de/10010256407

Reforming LIBOR and other financial-market benchmarks

Duffie, Darrell; Stein, Jeremy C. - 2014

improving transparency. We then describe how to mitigate LIBOR manipulation incentives by: (I) widening the types of …

Persistent link: https://www.econbiz.de/10011524552

Benchmarks in search markets?

Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - 2015

We characterize the price-transparency role of benchmarks in over-the-counter markets. A benchmark can, under conditions, raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the...

Persistent link: https://www.econbiz.de/10011524569

Managerial ownership changes and mutual fund performance

Martin, Thorsten; Sonnenburg, Florian - 2015 - This draft: August 2015

We study the dynamics of fund manager ownership for a sample of U.S. equity mutual funds from 2005 to 2011. We find that ownership changes positively predict changes in future risk-adjusted fund performance. A one-standarddeviation increase in ownership predicts a 1.6 percent increase in alpha...

Persistent link: https://www.econbiz.de/10011526141