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Limits to Mutual Funds' Ability to Rely on Mean/Variance Optimization

Karagiannidis, Iordanis - 2016

Our evidence suggest that estimation error in the required statistics is an important factor inhibiting investors' ability to rely on mean/variance analysis. We compare the returns reported by mutual funds to the returns obtained from a mean/variance optimized portfolio of fund holdings. The...

Persistent link: https://www.econbiz.de/10012999288

Mutual Fund Flows and Fund's Strategic Behavior When Investors Are Inattentive

Javadekar, Apoorva - 2020

The paper builds on a simple yet novel idea that the way investors react to the recent mutual fund performance depends largely upon the long-term historical performance of that fund. In particular, I find that investors react more actively to the fund's recent performance in case of the funds...

Persistent link: https://www.econbiz.de/10012845901

Do Fund Managers Misestimate Climatic Disaster Risk?

Alok, Shashwat - 2020

We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias...

Persistent link: https://www.econbiz.de/10012848430

Spotting Portfolio Greenwashing in Sustainable Funds

Abouarab, Rabab; Mishra, Tapas; Wolfe, Simon - 2022

This paper examines greenwashing practice in sustainable funds. We utilize a unique data set of US equity mutual fund holdings between 2011 and 2021 to calculate the sustainable funds' carbon footprint. Using an event study, we find that sustainable fund flows initially respond positively to...

Persistent link: https://www.econbiz.de/10014236463

Who creates and who bears flow externalities in mutual funds?

Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022

Using a unique dataset on the sectoral ownership structure of euro area equity mutual funds, we study how different investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual funds, are the main contributors to the flow...

Persistent link: https://www.econbiz.de/10013435221

The Empirical Law of Active Management : Perspectives on the Declining Skill of U.S. Fund Managers

Senechal, Edouard - 2023

Sénéchal proposes a new analytical framework—the empirical law of active management—to assess the breadth, or diversification, and the skill of a portfolio manager. The framework requires no assumptions regarding a manager’s asset return expectations or investment process. The framework...

Persistent link: https://www.econbiz.de/10014349349

Portfolio Management in Private Equity

Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023

General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we...

Persistent link: https://www.econbiz.de/10014372421

Do Mutual Fund Managers Time Market Liquidity?

Cao, Charles - 2013

Extant research has focused on mutual fund managers' ability to time market returns or volatility. In this paper, we offer a new perspective on the traditional timing issue by examining fund managers' ability to time market wide liquidity. Using the CRSP mutual fund database, we find strong...

Persistent link: https://www.econbiz.de/10013095810

Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry

Bouveret, Antoine; Yu, Jie - 2022

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of … contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond … funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When …

Persistent link: https://www.econbiz.de/10013305666

The determinants of cash flows in Greek bond mutual funds

Grose, Chris - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 55-77

This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the … Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to … a crucial factor in investment decision making. Bond mutual funds that invest primarily in government bonds, appear to …

Persistent link: https://www.econbiz.de/10009011152