Abstract We evaluate the hypothesis that investors seek portfolios display attractive return distributions in terms of Prospect Theory (PT). consider mutual fund market U.S. as an interesting testbed because are known to be return-chasing and about a half households own funds. Using monthly flow data from 1999–2019, we find funds attract higher net flows when they have better PT values. obtain ...

This paper investigates hedge fund performance and risk. The empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles such as mutual funds. The funds with watermarks significantly outperform the funds without watermarks. The average hedge fund returns are related positively to incentive fees, the size of the fund, and the lockup period. Hedge funds...

The paper investigates the role of trust in fund managers’ investment process. Three types of trust personal trust, organizational trust and system trust have been identified in Chinese fund managers’ investment practice. The impacts of different types of trust on mutual funds’ performance are then examined empirically. Through an in-depth investigation of 96 actively managed Chinese mutual fun...

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting investment to one fund family leads to a greater total portfolio risk than diversifying across fund famil...

The purpose of this study is to examine the pricing behavior and the discount of U.S. withinfamily closed-end funds merger, i.e., mergers between acquiring and target funds belonging to same fund families. There is no specific research on this issue since limited number of previous studies examines the determinants of open-end fund mergers and their subsequent wealth impact on shareholders of t...

We find that the performance distribution of the individual stocks inside a mutual fund can toss out additional information about the fund manager’s stock picking ability. When a mutual fund contains mostly mediocre-performing stocks but one super-performer, it is likely that the overall fund performance, albeit good, would be due to luck. On the other hand, a fund that has a larger number of a...

We consider the problem of a mutual fund manager that maximizes the present value of expected fees and has to decide the level of fee to impose on the fund. The fee will be paid by a risk averse investor that maximizes expected utility over final wealth. This investor can invest either in an indexed fund or in a managed fund. The manager has superior ability and, as a result of it, the fund off...

Using genetic algorithm (GA), this study proposes a portfolio optimization scheme for index fund management. Index fund is one of popular strategies in portfolio management that aims at matching the performance of the benchmark index such as the S&P 500 in New York and the FTSE 100 in London as closely as possible. This strategy is taken by fund managers particularly when they are not sure abou...