Agency conflicts can arise when a fund manager also chairs the board of the fund. We examine the consequences of this fund manager duality using a broad sample of single managed US equity funds. We find that duality managers significantly underperform non-duality managers. This underperformance...

Die vorliegende Arbeit beschÄaftigt sich mit der LiquiditÄat am deutschen Aktienmarkt. Konkret analysieren wir den Preiseinfluss von Transaktionen. Zunächst zeigen wir in einem einfachen dynamischen Optimierungsmodell, wie die optimale Handelsstrategie eines Anlegers von der funktionalen Form...

Expected returns can hardly be estimated from time series data. Therefore, many recent papers suggest investing in the global minimum variance portfolio. The weights of this portfolio depend only on the return variances and covariances, but not on the expected returns. The weights of the global...

The performance of actively managed mutual funds is largely dependent upon the investment decisions of the responsible fund managers. However, little is known about the behavior of these managers. This survey study sheds light on the decision processes of German fund managers. The design of the...

This paper investigates the commonality of liquidity in an open limit order book market. We find that commonality in liquidity becomes stronger the deeper we look into the limit order book. While commonality is only about 2% at the best prices, it increases up to about 20% inside the limit order...