Demand Curves and the Pricing of Money Management

Recent studies (e.g. Gruber (1996)) conclude that a subset of investors allocates away from funds with relatively worse prospects, and toward funds with better prospects. The implication for a given fund is that good prospects increase the density of performance-sensitive investors, and bad prospects increase the density of performance-insensitive investors. Since fees come out of performance, this has a straightforward pricing implication: investors remaining in the funds with bad prospects should be charged more, whether by the same fund or by a different fund that absorbs the investors. This dynamic is apparent from several angles in a sample of retail money-funds.

The demographics of fund turnover

This article documents various demographic factors which influence mutual fund turnover including managerial experience, location, education, and gender. On average, funds in financial centers trade more but this excess turnover declines with experience. While most extra trading is concentrated among less experienced managers in financial centers, they do not outperform inexperienced managers located in smaller towns. Furthermore, managers in financial centers increase trading after good performance. This result is particularly strong for inexperienced, more educated male fund managers investing in growth stocks and located in New York. Our results provide strong evidence that demographic factors influence fund manager trading behavior.Labor market; Mutual funds; Overconfident trading; Performance evaluation

Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds

We consider how fund managers respond to the conflicting preferences of their investors. We focus on the conflict between the taxable and retirement accounts of international funds, which face different tradeoffs between dividends and capital gains. In principle, managers could resolve this conflict through dividend arbitrage, but a proprietary database of dividend-arbitrage transactions shows that in practice they cannot. Thus, managers must resolve it through their investment policies, and we find robust evidence that managers with more retirement money favor the preferences of retirement investors. We find additional evidence in the difference between U.S. and Canadian funds' portfolio weights. Nous étudions comment les gestionnaires de fonds réagissent aux préférences contradictoires de leurs investisseurs. Notre étude se concentre principalement sur les conflits entre les comptes taxés et les comptes de retraite des fonds internationaux qui font l'objet de compromis différents entre les gains en dividendes et les gains de capital. En théorie, les gestionnaires peuvent résoudre ces conflits par des opérations d'arbitrage sur les dividendes, mais une base de données privée d'opérations d'arbitrage fait apparaître qu'en pratique ils ne peuvent pas. Les gestionnaires doivent alors résoudre ces conflits à travers leurs politiques d'investissement, et nous trouvons des résultats significatifs montrant que ceux dont le capital est issu majoritairement des retraites favorisent les investisseurs de fonds de pension. Nous trouvons également des différences entre les poids des portefeuilles de fonds américains et canadiens.Dividend arbitrage, tax efficiency, agency issues, mutual funds, arbitrage sur les dividendes, taxes sur les rendements, placements pour compte, fonds commun de placement

How and Why do Investors Trade Votes, and What Does it Mean?

The standard analysis of corporate governance is that shareholders vote in the ratios that firms choose, such as one-share-one-vote. But if the cost of unbundling and trading votes is sufficiently low, then shareholders vote in the ratios that they themselves choose. We document an active market for votes within the equity-loan market, where we find that the average vote sells for zero. We hypothesize that asymmetric information motivates these vote reallocations, and we find support for this view in the cross section of votes: there is more trade for higher-spread firms and more for poor performers, especially when the vote is close. We also find that the vote reallocations correspond to support for shareholder proposals and opposition to management proposals. L'analyse classique de la gouvernance d'entreprise suppose que les actionnaires votent selon les modalités choisies par la firme, par exemple un vote par action. Mais si les coûts associés à la séparation et à l'échange des votes sont suffisamment faibles, alors les actionnaires votent selon les modalités qu'ils ont eux-mêmes choisies. Nous présentons le cas d'un marché actif de votes au sein du marché des mises de fonds sous forme d'emprunts (equity loans), où nous constatons qu'en moyenne les votes se vendent pour rien. Nous supposons que l'asymétrie d'information provoque cette réallocation des votes, et nous étayons cette hypothèse à travers l'étude transversale des votes : le nombre d'opérations est plus important pour les compagnies dont l'écart acheteur-vendeur est plus élevé ainsi que pour celles dont les résultats sont plus faibles, particulièrement lorsque le vote est clos. Cette étude montre aussi que la réallocation des votes permet de soutenir les propositions des actionnaires et de s'opposer à celles des gestionnaires.vote trading, corporate governance, equity lending, information asymmetry, transaction de votes, gouvernance d'entreprise, prêt d'actions, asymétrie d'information

The Interdependence between Mutual Fund Managers and Investors in Setting Fees

In the mutual fund industry, there is a unique endogeneity between managers and investors. If a manager wants to lower fees in the hopes of attracting investors, the investors will not react unless they believe the manager will maintain low fees for a period of time. A binding contract is one way for managers to signal their commitment to low fees. However, in practice, many mutual funds waive fees with no contractual agreement that they will continue to waive fees. We show in a theoretical framework that an equilibrium with waivers can arise without contracts as long as investors' are relatively inert and discount factors are high enough for manager's to care about future fees. Investors are not fooled by waivers and are fully informed of the manager's actions and ability. If past returns have information about future returns, waivers indirectly act as a performance-based salary.

Demand Curves and the Pricing of Money Management

One reason why funds charge different prices to their investors is that they face different demand curves. One source of differentiation is asset retention: Performance-sensitive investors migrate from worse to better prospects, taking their performance sensitivity with them. In the cross-section we show that past attrition significantly influences the current pricing of retail but not institutional funds. In time-series we show that the repricing of retail funds after merging in new shareholders is predicted by the estimated effect on its demand curve. This result is robust to other influences on repricing, including asset and account-size changes

Sampling the Uppermost Surface of Airless Bodies

The uppermost surface of an airless body is a critical source of ground-truth information for the various remote sensing techniques that only penetrate nanometers to micrometers into the surface. Such samples will also be vital for understanding conditions at the surface and acquiring information about how the body interacts with its environment, including solar wind interaction, grain charging and levitation [1]. Sampling the uppermost surface while preserving its structure (e.g. porosity, grain-to-grain contacts) however, is a daunting task that has not been achieved on any sample return mission to date

Influence of filtration and glucose amendment on bacterial growth rate at different tidal conditions in the Minho Estuary River (NW Portugal)

Bacterioplankton abundance, biomass and growth rates were studied in theMinho Estuary River (NW Portugal). The influence of tidal conditions, glucose amendment, and the filtration process on total bacterial abundance, total and faecal coliforms, as well as faecal streptococci, were evaluated in laboratory incubation experiments. Physical and chemical conditions, as well as bacterial abundance in this estuary were found to be typical for oligo-mesotrophic coastal ecosystems. Bacterial abundance was higher at high tide, probably due to hydrodynamics and resuspension of bacteria from sediments. In contrast, a significant decrease of bacterial indicators of faecal pollution at high tide was probably the result of various causes, such as the decrease of continental and agricultural land run-off effect by dilution, and/or increase in the abundance of potential specific predators. Thus, drastic changes were induced at high tide that led to a lack of bacterial growth and the net disappearance of most of the bacterial populations. Glucose amendment, at used concentration, was not found to stimulate bacterial growth, which instead could be limited by inorganic nutrients.La abundancia, la biomasa y las tasas de crecimiento de bacterioplancton fueron estudiadas en el estuario del río Miño (NW Portugal). La influencia de condiciones de marea, de la adición de glucosa y del proceso de filtración en la abundancia total de bacterias, coliformes totales y coliformes fecales, así como de estreptococos fecales, fue evaluada en experimentos de incubación en laboratorio. Las condiciones físicas y quíımicas, así como la abundancia bacteriana encontradas en este estuario son típicas para los ecosistemas costeros oligo-mesotroficos. La abundancia bacteriana fue más alta en la alta marea, probablemente debido a la hidrodinámica y a la resuspensión de bacterias de los sedimentos. En contraste, la disminución significativa de los indicadores bacterianos de la contaminación fecal en la alta marea resultó probablemente de varias causas, tales como la disminución del efecto de vertido de la región continental y agrícola por la dilución, y/o aumento en la abundancia de depredadores específicos potenciales. En resultado, cambios drásticos fueron inducidos en la alta marea originando la ausencia de crecimiento bacteriano y la desaparición neta de la mayoría de las poblaciones bacterianas. La adición de la glucosa, en la concentración usada, no estimuló el crecimiento bacteriano, que se podría limitar por los alimentos inorgánicos

Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund Trades

Until recently, all Canadian mutual funds were required to disclose all their individual trades, offering a unique and ideal opportunity to measure and analyze the cost and performance of mutual funds\u27 trades. We find that active management delivers both cheaper trades and better subsequent performance, and that the dissipative effect of flow-driven transactions costs is primarily through forced sales. Fund size associates with both cheaper trades and better subsequent performance, and a series of trades predicts more price movement in the predicted direction, indicating the value to funds of keeping their trading anonymous