This study examines the effects of weekly and monthly capital flows into the dedicated REIT mutual fund sector on aggregate REIT returns and, simultaneously, the effects of industrylevel REIT returns on subsequent REIT mutual fund flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our...

I evaluate the economic consequences of advisory misconduct by estimating the effect of publicly disclosed regulatory actions of mutual fund advisors on fund flows. Based on misconduct events from 2000-2013, I find a 5% reduction in fund flows to malfeasant advisors in one year following the misconduct. Further analysis using the 2001 SEC electronic filing mandate as a positive shock to miscond...

Mutual fund investors are largely middle class Americans2, many of whom are investing for essential long-term objectives like retirement and college education. For these individuals to make appropriate investment decisions, they must understand all dimensions of risk, including, perhaps most importantly, that risk and reward are closely related and that it may be necessary to assume certain “ri...

The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players can be quantitatively discussed in terms of the tail behavior of the mutual fund size distribution. We study the distribution empirically and show that the tail is better...

This paper investigates whether the business relations between mutual funds and brokerage firms influence sell-side analyst recommendations. Using a unique data set that discloses brokerage firms’ commission income derived from each mutual fund client as well as the share holdings of these mutual funds, we find that an analyst’s recommendation on a stock relative to consensus is significantly h...

The trend of Do-It-Yourself (DIY) personal financing is fueled by the Internet. Toward mutual fund industry, it offers small or individual investors chances to share professional finance management provided by mutual fund companies. In this paper, we propose a novel secure mobile agent based mutual fund trading system (based on our former system [9]), which can provide complete Internet-based a...

Mutual funds hold large blocks of shares in many major corporations. Practitioners and regulators alike have been concerned that mutual funds use their proxy votes in a promanagement manner in order to garner lucrative pensions administration contracts, thus hindering shareholder value. Such concerns led the SEC to mandate the disclosure of mutual fund proxy votes starting in 2003. We present a...

In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the resul...

Mutual fund providers serve two principals with opposing interests: their owners, who want them to maximize profits, and their fund shareholders, who want them to maximize fund returns. I investigate what role is played by customer power and information, as well as by competition among fund providers in influencing the balance of power between these two opposing principals. Using a data set of ...

Article history: Received 5 May 2010 Received in revised form 1 February 2012 Accepted 1 March 2012 Available online 8 March 2012 We examine the ability of oneand two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns wi...