This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

This study investigates whether the relation between macro-level fund flow and market returns varies between the retail and institutional fund management markets. We find evidence of a contemporaneous relation between flow and market return for retail funds and also find evidence to support the...

We examine gross fund returns based on the number of securities held and find no evidence that focused funds outperform diversified funds. After deducting expenses, focused funds significantly underperform. Controlling for various fund characteristics, fund performance is positively related to...

This paper infers the impact the publication “Guia Exame” (the guide) has on the Brazilian fund industry, more specifically on the ability the concerned funds develop on attracting new investment. The impact is measured using the event-study analysis based on the variation of net worth...

In the mutual funds industry the rating process is very important, and Morningstar is surely the most influential international rating agency.In this work we consider the problem of evaluating if the risk component is adequately accounted for in the Morningstar rating. To face this problem we...

Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund flows to provide new evidence for the link between mutual fund leverage and financial...

Motivated by a growing trend where the increasing number of conventional mutual fund families have begun to offer exchange-traded funds (ETFs), we study the effects of ETFs on the actively managed mutual funds (active funds) in the same mutual fund family. Our difference-in-difference...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

The digital transformation is disrupting the financial sector. Venture capital, private equity and hedge funds are also affected. We see more and more firms implement emerging technologies in their investment process. There are several common trends. Big Data analytics and the use of artificial...

Objective – Even though the unit trust industry witnessed high growth in portfolios size, performances and regulations, however, there is still insufficient understanding of various aspects of the industry such as the lack of information on the funds' unit price behavior and their trend in the...