Journal ArticleDOI
The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds
Diane Del Guercio,Paula A. Tkac +1 more
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In this paper, the authors compare the relationship between asset flow and performance in the retail mutual fund and fiduciary pension fund segments of the money management industry, and relate empirical differences to fundamental differences in the clientele they serve.Abstract:
This study compares the relations between asset flow and performance in the retail mutual fund and fiduciary pension fund segments of the money management industry, and relates empirical differences to fundamental differences in the clientele they serve. A striking difference is the shape of the flow-performance relation. In contrast to mutual fund investors, pension clients punish poorly performing managers by withdrawing assets under management and do not flock disproportionately to recent winners. We interpret these and other empirical differences in the context of the manager evaluation procedures typical in each segment. We conclude that pension managers have little incentive to engage in the risk-shifting behavior previously identified among mutual fund managers.read more
Citations
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On the Industry Concentration of Actively Managed Equity Mutual Funds
TL;DR: The authors studied the relationship between industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 1999 and found that, on average, more concentrated funds perform better after controlling for risk and style differences using various performance measures.
Journal ArticleDOI
Assessing asset pricing models using revealed preference
Jonathan B. Berk,Jonathan B. Berk,Jules H. van Binsbergen,Jules H. van Binsbergen,Jules H. van Binsbergen +4 more
TL;DR: In this paper, the authors propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns, and derive a simple test statistic that allows them to infer, from a set of candidate models, the model that is closest to the true risk model.
Journal ArticleDOI
Just How Much Do Individual Investors Lose by Trading
TL;DR: Barber et al. as discussed by the authors investigated how much individual investors lose by trading in the Taiwan stock market and provided the data used in their study. But they did not consider the effect of the stock market volatility on individual investors' performance.
Posted Content
Mutual Fund Attributes and Investor Behavior
TL;DR: In this paper, the authors study the dynamics of investor cash flows in socially responsible mutual funds and find that investors derive utility from the socially responsible attribute, especially when returns are positive.
Journal ArticleDOI
Institutional Ownership Differences and International Diversification: The Effects of Boards of Directors and Technological Opportunity
TL;DR: In this paper, the roles of institutional investors, boards of directors, and technological opportunity in relation to international diversification were examined in 197 large U.S. firms, and the results suggest that different institutional owners have different stakes in firms' international strategies.
References
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Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
Costly Search and Mutual Fund Flows
Erik R. Sirri,Peter Tufano +1 more
TL;DR: The authors studied the flows of funds into and out of equity mutual funds and found that high performance appears to be most salient for funds that exert higher marketing effort, as measured by higher fees.
Journal ArticleDOI
Another Puzzle: The Growth in Actively Managed Mutual Funds
TL;DR: In this article, the authors present empirical evidence that investors in actively managed mutual funds may have been more rational than we have assumed, and show that the return on new cash flows should be better than the average return for all investors in these funds.
ReportDOI
Risk taking by mutual funds as a response to incentives
TL;DR: In this paper, the authors examine a potential agency conflict between mutual fund investors and mutual fund companies, where investors would like the fund company to use its judgment to maximize risk-adjusted fund retraction.