منابع مشابه
Mutual fund competition and stock market liquidity
We study how competition in the mutual fund industry affects the stock market and its liquidity. We argue that mutual fund families operate as multi-product firms, jointly choosing fees, performance and number of funds. We show that competition between fund families distorts the incentives to collect information and induces the families to trade off performance and number of funds. An increase ...
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Mutual funds change their risk levels significantly over time. Risk shifting might be caused by ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their personal compensation. Alternatively, risk shifting might occur when skilled fund managers trade to take advantage of their stock selection and timing abilities. This paper investigates the performance consequ...
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We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to inve...
متن کاملEvaluating Mutual Fund Performance
We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...
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a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...
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ژورنال
عنوان ژورنال: Management Science
سال: 2019
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2017.2851