Essays On Mutual Fund Performance
DOWNLOAD
Download Essays On Mutual Fund Performance PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Essays On Mutual Fund Performance book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Essays On Mutual Fund Performance And Predictability
DOWNLOAD
Author : Yu Xia
language : en
Publisher:
Release Date : 2022
Essays On Mutual Fund Performance And Predictability written by Yu Xia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
"This thesis consists of two essays on evaluating mutual fund performance and its predictability. In the first essay, I study the ex ante predictability of 12 well-known predictors for fund performance from investors' perspective. The 12 predictors cover three major categories: fund characteristics, fund performance, and holding-based activeness measures, which are constructed using real-time information. For performance evaluation, I exploit two types of fund picking strategies with either rule-based approach or machine learning methods and find that utilizing machine learning can deliver superior real-time economic gains for investors with fund short-term performance being the primary driver underlying predictability. Specifically, using variable selection methods such as LASSO and elastic net at individual predictor level can generate annual 1.3%-1.7% real-time alphas after adjusting for standard risk factors. The essay further examines whether real-world investors react to those well-known predictors when evaluating mutual fund performance. Using a novel approach to decomposing fund returns, I find that conditional on investors' usage of CAPM, investors react to the components of CAPM alpha implied by predictors in different ways, and investor reaction to predictive information embedded in predictors is stronger within aggressive growth funds. These results provide empirical support for Gârleanu and Pedersen (2018) and suggest ex ante predictability exists not due to lack of investor reaction but as the compensation for employing costly algorithms to identify skilled managers.The second essay examines how decision-making hierarchy in team-managed U.S. equity mutual funds affects their performance and risk-taking behavior. Employing a unique hand-collected dataset, we find that vertically-managed funds with lead managers earn 75 bps per year lower Fama-French five-factor alpha than their horizontally-managed counterparts. Moreover, vertically-managed funds hold less concentrated portfolios and are exposed to lower residual risk, thus showing signs of inferior security selection ability. Using mutual fund industry as a laboratory, the second essay provides evidence supporting a horizontal decision-making structure in organizations functioning in an uncertain expectation environment. These results echo similar mechanisms as in recent cross-country studies on the benefits of democratic form of government for country's economic growth"--
Essays On Mutual Fund Performance Evaluation With Clientele Effects
DOWNLOAD
Author : Manel Kammoun
language : en
Publisher:
Release Date : 2015
Essays On Mutual Fund Performance Evaluation With Clientele Effects written by Manel Kammoun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This thesis studies the performance evaluation of mutual funds from the point of view of their most favorable clienteles. It contains three essays in which we develop and adapt a performance measurement approach that accounts for investor disagreement and clientele effects to answer three research questions. In the first essay, we investigate investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. The measure is an upper performance bound in an incomplete market under the law-of-one-price condition and a no-good-deal condition that rules out investment opportunities with unreasonably high Sharpe ratios. We find that considering investor disagreement and focusing on the best potential clienteles lead to a generally positive performance for mutual funds. The total disagreement measured by the difference between upper and lower performance bounds is economically and statistically significant. In the second essay, we diagnose the validity of standard performance measures by comparing their alphas with the alpha from a performance measure that evaluates mutual funds from the point of view of their most favorable investors. The results show that unconditional linear factor models, their conditional versions and the law-of-one price measure give severe but admissible evaluations of fund performance. Consumption-based models suffer from an inadmissibility problem. The manipulation proof performance measure generates alphas that are sensitive to the choice of risk aversion parameter. In the third essay, we propose a clientele-specific performance evaluation based on the style preferences of mutual fund investors. Considering performance disagreement and better exploiting style classification data, we investigate eight measures to represent clienteles with favorable preferences for size and value equity styles. We find that funds assigned to size and value styles have neutral to positive average alphas when evaluated with their appropriate clientele-specific measure. The performance of the other funds is sensitive to the clienteles. Our findings support a significant role for style clienteles in performance evaluation.
Two Essays On Mutual Fund Performance
DOWNLOAD
Author : Andrew A. Lynch
language : en
Publisher:
Release Date : 2012
Two Essays On Mutual Fund Performance written by Andrew A. Lynch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Electronic Dissertations categories.
In these two essays, I examine the relation between mutual fund characteristics and fund performance. In the first essay, I test the impact of liquidity and liquidity risk on mutual fund returns. I find that equity funds with the most illiquid holdings outperform those with the most liquid holdings by as much as 4.40 percent annually. Funds with high liquidity beta only marginally outperform those with low liquidity beta on average. However, this outperformance is significantly stronger after excluding periods of extreme market illiquidity. Testing the liquidity and liquidity risk effects jointly reveals that both independently positively influence fund returns. In the second essay, I test the relation between fund fees and fund performance. Theory suggests that mutual fund fees should be positively related to before-fee returns (Berk and Green (2004)), while recent empirical work documents a negative relation (Gil-Bazo and Ruiz-Verdu (2009)). I find that the previously identified negative relation is not robust to alternative empirical specifications. Portfolio sorting and regression analysis with controls for fund characteristics find a positive relation between before-fee returns and expense ratios. I also find a positive relation between before-fee returns and management fees, the fee used to compensate fund managers. Extending the analysis to proxies for manager skill, I find a positive relation between fees and both trading skill and active share of holdings.
Essays On Mutual Fund Performance And Organization
DOWNLOAD
Author : Iordanis Karagiannidis
language : en
Publisher:
Release Date : 2007
Essays On Mutual Fund Performance And Organization written by Iordanis Karagiannidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Mutual funds categories.
Three Essays On The Strategies Of Mutual Funds
DOWNLOAD
Author : Zhi Wang
language : en
Publisher:
Release Date : 2004
Three Essays On The Strategies Of Mutual Funds written by Zhi Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Investments categories.
Two Essays On Mutual Fund Managerial Skills And Performance
DOWNLOAD
Author : Ao Wang
language : en
Publisher:
Release Date : 2021
Two Essays On Mutual Fund Managerial Skills And Performance written by Ao Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Mutual funds categories.
This dissertation consists of two essays that study mutual fund managerial skills and performance.Understanding whether mutual funds have skills is important as it could help investors make investment decision. My fist essay studies whether and how fund size affects managers' risk-taking behavior in the setting of fund mergers. I test the relation between fund size and risk-shifting. The main findings are as follows. First, acquiring fund managers' risk-taking declines as size increases resulting from mergers. The decline in risk-taking remains significant after controlling for fund characteristics, diversification effect, and portfolio's systematic risk exposure that can be correlated with managers' investment choices. Second, liquidity is a driving factor for the negative impact of size on managers' risk-taking. Third, I decompose fund size into two components based on either liquidity or risk-taking and examine which component(s) correlate with fund performance. I document that risk-taking is, beyond liquidity, another underlying mechanism for decreasing returns to scale.In the second essay, I study the timing ability of mutual funds in different sentiment periods. I first use DGTW (1997) style timing measure (CT) to examine if mutual funds perform better in high sentiment periods when stock mispricing is enlarged, providing more trading opportunities for mutual funds. Results show that mutual funds have better style timing ability in high sentiment than in low sentiment. The result is robust when I use alternative sentiment measures and different model specifications. Moreover, the style timing ability in high sentiment periods is more pronounced for less expensive funds with lower turnover and active shares. Then I investigate the source of this timing ability using 9 well-known stock return anomalies. I construct an anomaly timing measure (AT) using each of the 9 individual anomalies as well as the composite anomaly. AT is developed to detect whether fund managers could successfully time a certain anomaly. I find that mutual funds have better anomaly timing ability in composite anomaly and 4 contrarian anomalies which are investment-to-assets, asset growth, composite equity issue and net operating assets. Furthermore, I provide evidence that mutual funds with better timing abilities could outperform overall.
Essays On Mutual Funds Performance
DOWNLOAD
Author : Lubomira Ivanova
language : en
Publisher:
Release Date : 2005
Essays On Mutual Funds Performance written by Lubomira Ivanova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
In the first chapter of my dissertation I present a survey of the literature on mutual fund performance. The first section of chapter one discusses two approaches to portfolio evaluation. The returns-based approach evaluates the net portfolio returns of the funds. The second, holdings-based approach, directly measures the stock-picking talent of mutual fund managers by focusing on manager's equity holdings. The second section of chapter one presents the literature on flows of funds and its relationship to portfolio evaluation.
Three Essays On Mutual Funds
DOWNLOAD
Author : Xuemei Guo
language : en
Publisher:
Release Date : 2017
Three Essays On Mutual Funds written by Xuemei Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This dissertation investigates the determinants of mutual fund flows and mutual fund performance. The first chapter examines the response of fund investors to style volatility and the impact of style volatility on the flow-performance relationship. Three main empirical findings are obtained using both a portfolio approach and a multivariate regression approach. First, I find that there is a significant positive relationship between the style volatility and the subsequent fund flows to mutual funds. This finding can be interpreted as either fund managers having style timing ability or fund managers catering to investors preferences or tastes. Second, the positive relationship between past style volatility and fund flows is less pronounced for funds with superior past performance. Lastly, fund style volatility has a dampening effect on the flow-performance relationship: the flow-performance sensitivity weakens by 12% when the past style volatility increases by one standard deviation. It is likely that performance is perceived as a less informative signal of investment ability for fund managers who follow inconsistent styles over time. The second chapter studies how the response of fund investors to past risk varies over business cycles. I employ the NBER boom indicator, the Consumer Sentiment Index, and the National Activity Index to proxy for economic conditions. I find that mutual fund investors react differently to risk across economic environments. Funds with more volatile past returns discourage fund investors. The investors’ demand for actively managed funds is higher under good market conditions. Fund flows are less responsive to risk during expansionary economic periods. This finding may indicate that fund investors are risk averse and become less risk averse in good market states. The third chapter empirically examines whether mutual fund performance is affected by prior family performance. I propose two testable hypotheses: the information and resource sharing hypothesis and the cross-fund subsidization hypothesis. The empirical findings suggest that there is a significant positive relationship between prior family performance and subsequent fund performance. This finding is consistent with the hypothesis that mutual funds in the same family share informational resources. This positive relation also justifies the finding in the mutual fund flow literature that fund flows are higher for funds with higher past family performance. Furthermore, I find that the predictive power of the prior family performance is stronger in larger fund families.
Essays On Mutual Funds
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2006
Essays On Mutual Funds written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The first essay examines the relation between fund performance and stock selection process. I classify mutual funds into two groups according to their distinctive stock selection approaches: tire kickers who rely on fund managers' personal judgment and fundamental analysis to pick stocks, and quant jocks who use computer-based models to select stocks. I examine how the stock selection approach affects mutual fund performance and economies of scale. I document an increasing trend of quantitative techniques used by mutual funds, in addition to some unique characteristics of quant jocks. Quant jocks and tire kickers have similar factor-adjusted alphas, but quant jocks have higher Sharpe ratios. Quant jocks tend to be much smaller than tire kickers. I explore possible explanations for the size difference. I find that although quant jocks can cheaply screen a large universe of stocks, the stocks that quant jocks invest in are smaller and less liquid, which results in higher transaction costs and limited scalability of quantitative investment strategies. The second essay investigates mutual fund managers' private information about future stock returns as revealed in their portfolio holdings. Specifically, we develop three different stock alpha estimators to predict stock returns based on portfolio compositions and past performance of mutual funds. We find that investment strategies based on our stock alpha estimators perform well, when using information on recent fund holdings and fund purchases. This evidence suggests that fund managers' stock selection skills are quite persistent, and vary widely in the cross-section. We also compare our strategies with 12 quantitative investment signals based on market anomalies, and find that our strategies are not subsumed by these quantitative signals. Thus, our stock alpha estimators reflect private skills of active fund managers that are unrelated to known anomalies. Finally, we develop a conditional stock alpha estimator using information on stock characteristics and fund characteristics. Investment strategies based on the conditional stock alphas deliver further improved performance.
Essays On Mutual Fund Performance
DOWNLOAD
Author : Gulnara R. Zaynutdinova
language : en
Publisher:
Release Date : 2015
Essays On Mutual Fund Performance written by Gulnara R. Zaynutdinova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Chapter two investigates timing abilities of alpha-opportunities by mutual fund managers. Active portfolio management is costly and may not deliver higher net returns to investors in the absence of sufficient alpha-opportunities when, e.g., stock returns are predominantly driven by systematic factors and highly correlated. Thus, mutual funds should engage in less active trading when stock valuation is expected to be less divergent. Our results show that mutual funds on average have the ability timing alpha-opportunities, with large-value and large-growth funds exhibiting the strongest timing skill. The results are robust when we control for past fund flows and returns, macroeconomic variables, and other potential timing skills. More importantly, funds with significantly positive timing skill earn 0.05% higher monthly returns, as measured by four-factor alpha, in subsequent month than those with negative timing skill. Our study contributes to the existing literature by proposing a novel measure to assess an important attribute of mutual fund active management ability.
