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(Dis)Incentive Effects of Fund Flows in Money Management

Sotes-Paladino, Juan M. - 2019

I present a dynamic investment model in which mutual funds' inferior performance is an equilibrium response to incentives rather than the consequence of low skills. In the model, a skilled (informed) manager responds to investors' flows, which are a convex function of performance relative to...

Persistent link: https://www.econbiz.de/10012905560

When Should Investors Choose an Alternative to Passively Investing in a Capitalization-Weighted Index?

Ezra, Don - 2017

We present a framework for deciding when to choose an alternative to passively investing in capitalization-weighted indices within any particular asset class. Five reasons are identified for seeking an alternative. Three of these reflect situations where a capitalization-weighted index is either...

Persistent link: https://www.econbiz.de/10012976468

Does Active Fee Predict Mutual Fund Flow? - Price Sensitivity of Demand for Active Management

Døskeland, Trond; Sjuve, André Wattø; Ørpetveit, Andreas - 2021

Active fee is the ratio between the excess cost of active management over the index alternative and the fund's activity level. We suggest a simple model that explains active capital allocations in the presence of time-varying active fee. We show that investors respond in accordance with the...

Persistent link: https://www.econbiz.de/10013225316

Redemptions and asset liquidations in corporate bond funds

Dötz, Niko; Weth, Mark - 2019

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship and the liquidity management of funds in the presence of...

Persistent link: https://www.econbiz.de/10012268205

Redemptions and asset liquidations in corporate bond funds

Dötz, Niko; Weth, Mark - 2019

Persistent link: https://www.econbiz.de/10011995042

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

Once a trader, always a trader : the role of traders in fund management

Cici, Gjergji; Schuster, Philipp; Weishaupt, Franziska - 2024

Mutual fund families are increasingly assigning traders to manage corporate bond mutual funds. Using this setting to study the role of traders in investment management, we document that trader managers identify and exploit short-term trading opportunities at lower transaction costs. These skills...

Persistent link: https://www.econbiz.de/10014467713

Stimulating non-bank financial institutions' participation in green investments

Gianfrate, Gianfranco; Lorenzato, Gianni - 2018

This paper analyzes the approaches adopted by institutional investors to manage climate risk in their portfolios and proposes policies to increase climate awareness in this large segment of the capital markets. Because of their size and their role as conduit of savers' climate concerns to the...

Persistent link: https://www.econbiz.de/10011893935

Investments as Probability Distributions

Jacobsen, Brian - 2010

The core of the theory behind portfolio construction was developed in 1956 by Harry Markowitz. Many pages have been … theory. I cannot recommend enough the insights provided in Modern Portfolio Theory and Investment Analysis, 8/e, by Edwin … the original integrity behind Markowitz's insights and addresses many of the criticisms of the theory …

Persistent link: https://www.econbiz.de/10013147812

Matter of Style : The Causes and Consequences of Style Drift in Institutional Portfolios

Wermers, Russ - 2012

The equity style orientation of an institutional portfolio has a large influence on its yearly returns. This paper analyzes the causes and consequences of portfolio "style drift" among U.S. equity mutual funds by developing new portfolio holdings-based measures of drift. These holdings-based...

Persistent link: https://www.econbiz.de/10013109009

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