Performance And Determinants Of Mutual Funds That Affect Investment Decisions
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Performance And Determinants Of Mutual Funds That Affect Investment Decisions
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Author : LI ANNA (TP035750)
language : en
Publisher:
Release Date : 2016
Performance And Determinants Of Mutual Funds That Affect Investment Decisions written by LI ANNA (TP035750) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Investment Criteria For Mutual Fund Selection
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Author : Jan Harkopf
language : en
Publisher: diplom.de
Release Date : 2016-10-07
Investment Criteria For Mutual Fund Selection written by Jan Harkopf and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-07 with Business & Economics categories.
The importance of mutual funds for individual investors has increased in recent decades. This becomes apparent when looking at the increased share of households owning mutual funds. These mutual fund investors usually want to receive a return which is above or at least close to the mutual fund’s benchmark. Consequently, investors want to invest in those funds which will show these patterns in the future. Some of these mutual funds receive much attention, since they generate extraordinary high performance. But the question that remains is whether it is possible to predict such performance before funds exhibit such outstanding performance. In the past, mutual fund investors focused extensively on performance or performance linked patterns, like the Morningstar star rating, and thus chased past performance. This seems surprising since performance persists only over a short time and is more persistent to weak mutual funds (1 and 2 star rated) than well performing mutual funds. Thus, chasing past performances seems to be a rather inferior strategy. Therefore, investors should try to identify alternative tools showing a high correlation to future mutual fund performance. In this book, mutual funds are analysed, especially open-end mutual funds and actively managed mutual funds. The main focus is on what purpose and usefulness active investments have and whether performance is persistent and what the determinants of mutual fund flows are. Moreover, some alternative measures will be introduced by explaining which attributes or methods should be used and avoided when selecting mutual funds.
New Perspectives On The Determinants And Consequences Of Individuals Investment Decisions
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Author : Michael Charles Yates
language : en
Publisher:
Release Date : 2007
New Perspectives On The Determinants And Consequences Of Individuals Investment Decisions written by Michael Charles Yates and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Finance categories.
This research examines how individuals formulate their investment decisions and the importance of these decisions to the financial marketplace. Traditional finance theory has focused on solving the rational investor's choice problem by considering each financial asset's contribution to the risk and return of the investor's existing portfolio. Alternatively, this study recognizes the inability of most individuals to consider all possible investments in the financial universe, and therefore approaches the investor's choice problem by focusing on environmental and psychological factors that guide the formulation of the investor's selection set. In particular, this research focuses on the importance of attention in influencing the common stock selections of individuals and shows that this attention effect can have a significant impact on the returns of attention-grabbing equities. Additionally, I document the impact of mutual fund family affiliation on the mutual fund investment decisions of individuals and discuss how apparent reputation effects could impact the organization and performance incentives of mutual funds.
Do Social Factors Influence Investment Behavior And Performance Evidence From Mutual Fund Holdings
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Author : Arian Borgers
language : en
Publisher:
Release Date : 2015
Do Social Factors Influence Investment Behavior And Performance Evidence From Mutual Fund Holdings written by Arian Borgers 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.
We study the economic significance of social dimensions in investment decisions by analyzing the holdings of U.S. equity mutual funds over the period 2004-2012. Using these holdings, we measure funds' exposures to socially sensitive stocks in order to answer two questions. What explains cross-sectional variation in mutual funds' exposure to controversial companies? Does exposure to controversial stocks drive fund returns? We find that exposures to socially sensitive stocks are weaker for funds that aim to attract socially conscious and institutional investor clientele, and they relate to local political and religious factors. The financial payoff associated with greater “sin” stock exposure is positive and statistically significant, but becomes non-significant with broader definitions of socially sensitive investments. Despite the positive relation between mutual fund return and sin stock exposure, the annualized risk-adjusted return spread between a portfolio of funds with highest sin stock exposure and its lowest-ranked counterpart is statistically not significant. The results suggest that fund managers do not tilt heavily towards controversial stocks because of social considerations and practical constraints.
Do Social Factors Influence Investment Behaviour And Performance
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Author : Arian Borgers
language : en
Publisher:
Release Date : 2015
Do Social Factors Influence Investment Behaviour And Performance written by Arian Borgers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Investments categories.
We study the economic significance of social dimensions in investment decisions by analyzing the holdings of U.S. equity mutual funds over the period 2004-2012. Using these holdings, we measure funds' exposures to socially sensitive stocks in order to answer two questions. What explains cross-sectional variation in mutual funds' exposure to controversial companies? Does exposure to controversial stocks drive fund returns? We find that exposures to socially sensitive stocks are weaker for funds that aim to attract socially conscious and institutional investor clientele, and they relate to local political and religious factors. The financial payoff associated with greater "sin" stock exposure is positive and statistically significant, but becomes non-significant with broader definitions of socially sensitive investments. Despite the positive relation between mutual fund return and sin stock exposure, the annualized risk-adjusted return spread between a portfolio of funds with highest sin stock exposure and its lowest-ranked counterpart is statistically not significant. The results suggest that fund managers do not tilt heavily towards controversial stocks because of social considerations and practical constraints.
Three Essays In Investments
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Author : Luqi Xu
language : en
Publisher:
Release Date : 2021
Three Essays In Investments written by Luqi Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Electronic dissertations categories.
Sentiment is an important concept in economics and finance and has been the focus of many studies. Individual investors, professional investors, corporate managers, and households have sentiments on the economy and financial markets which affect their decisions, and hence economic activities and asset prices. Measuring sentiment and determining what factors affect it have significant importance in finance research. My dissertation studies this subject by introducing state-of-the-art methods from artificial intelligence to measure the sentiment in several sources of business text data, that is, public firms disclosures and mutual funds reports. I investigate the information content, determinants, and the effects of the sentiments on asset prices and investment decisions of investors. In chapter one, we use a novel text classification approach from deep learning to accurately measure sentiment in a large sample of 10-Ks. In contrast to prior literature, we find that both positive and negative sentiments predict abnormal returns and abnormal trading volume around the 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. In chapter two, I study the sentiment of mutual fund managers towards the stock market. Using a direct measure of managers market expectations extracted from mutual funds semi-annual reports, I find that fund managers extrapolate their funds past performance into their market outlook. Funds with managers who have higher market expectation take more risk by increasing their equity holdings and the beta of their equity portfolios, but underperform subsequently. In chapter three, we study the sentiment of mutual fund managers about specific stocks in their portfolios. We study some mutual funds practice of voluntarily disclosing investment ideas in their annual reports. The practice involves, at a minimum, expressing views on stocks which fund managers are optimistic about. We find that managers of larger and better performing funds discuss positions that have recently underperformed, those that make up larger portions of their portfolios, and those they have held for longer periods. Our findings suggest that managers disclose these recommendations to boost their own fund performance and to attract additional capital.
Mutual Funds
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Author : John Haslem
language : en
Publisher: John Wiley & Sons
Release Date : 2009-02-09
Mutual Funds written by John Haslem and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-09 with Business & Economics categories.
This authoritative book enables readers to evaluate the variousperformance and risk attributes of mutual funds, while also servingas a comprehensive resource for students, academics, and generalinvestors alike. Avoiding the less useful descriptive approach tofund selection, this book employs a balanced approach includingboth technique and application. The chapters combine clearsummaries of existing research with practical guidelines for mutualfund analysis. Enables readers to analyze mutual funds by evaluating a fund'svarious performance and risk attributes. Includes templates, which provide an efficient, sound approachto fund analysis, interpretation of results, buy/sell decisions,and the timing of decisions. Combines clear summaries of existing research with practicalguidelines for mutual fund analysis.
Mutual Fund Flows And Performance Streaks How Mutual Fund Selection Is Driven By Behavioural Biases
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Author : Kai Aschick
language : en
Publisher:
Release Date : 2017
Mutual Fund Flows And Performance Streaks How Mutual Fund Selection Is Driven By Behavioural Biases written by Kai Aschick 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 thesis contributes to existing literature by analysing the role of performance streaks in the US mutual fund industry. Existing research suggests that performance streaks, i.e. multiple consecutive months of positive or negative performance, are an important determinant of mutual fund flows. My dataset comprises monthly returns and net-flows from US equity mutual funds from 1996 through 2015. My first analysis shows that streaks are not an indication of performance persistence and should not be used in investment decisions. Next, I develop two forecasting models using streaks based on several different performance metrics, such as excess returns and CAPM-alphas. The first one is a probit model that forecasts future investor sentiment, measured by the sign of future net-flows. This model is very robust to different time period specifications. The second one is a multiple linear regression model that forecasts actual future net- flows. The performance of this model strongly depends on the time period specified, as it performs poorly following the financial crisis. In both models the best-performing specification uses streaks based on CAPM-alphas. However, a Shapley decomposition reveals that streaks are, despite being statistically significant, the least-important predictors of future net-flows. Instead, lagged net-flows are the most-important determinants of future net-flows. The results of this thesis suggest that active streaks tip the scales when investors decide between two or more funds with a comparable track record. Hence, the results presented are ambiguous regarding investor rationality.
Investments And Portfolio Performance
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Author : Edwin J. Elton
language : en
Publisher: World Scientific
Release Date : 2011
Investments And Portfolio Performance written by Edwin J. Elton and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This book contains the recent contributions of Edwin J. Elton and Martin J. Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the twenty articles have been published in the last ten years. This book supplements the earlier contributions of the editors published by MIT Press in 1999.
Mutual Fund Investment By Salaried Investors Identifying The Determinants
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Author : Dr. Sujit Deb, Dr. Ranjit Singh
language : en
Publisher: Notion Press
Release Date : 2018-06-14
Mutual Fund Investment By Salaried Investors Identifying The Determinants written by Dr. Sujit Deb, Dr. Ranjit Singh and has been published by Notion Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-14 with Business & Economics categories.
“Mutual fund investment by salaried investors: Identifying the determinants” is a book which attempts to throw light upon the determinants of mutual fund investment among the salaried investors. It is well-known fact that salaried class in India posses some unique characteristics which place them in a different category than that of other investors. This book address the issues directly associated with the salaried investors. Of late, a lot of research work is going on in the field of behavioural finance. This book is simply an extension of the work in the field of behavioural finance especially the areas which deal with respect to investment in mutual fund. Studies in the area of behavioural finance especially related to the mutual fund investment, is gaining momentum in India and hence teaching, and research in this field is also increasing. There is dearth of good book on this issue. This book is expected to fill up that gap. The book is expected to make the lives of teachers, students, and researchers relatively easier. The knowledge received from this book will go a long way in shaping the future of education of behavioural finance in India.
