Mutual Fund Growth in Standard and Specialist Market Segments

We examine differences in the performance flow relationship (PFR) between different segments of the fund industry. Such differences can be caused by distinct mutual fund investors’ characteristics in different segments. In our empirical study of the US equity mutual fund industry in 1993-2001, we find a much more convex PFR in standard segments than in specialist segments. Furthermore, our results suggest that investors in the latter are more fee- and risk-aware than investors in standard segments. Overall, these results hint at investors in specialist segments being more sophisticated than investors in standard segments. Our results should have serious implications for the management of investment companies and for the behavior of fund managers.Mutual Funds, Performance Flow Relationship, Fund Growth, Investor Sophistication

Family Matters: The Performance Flow Relationship in the Mutual Fund Industry

The relationship between the performance of mutual funds and their subsequent growth is examined. The focus of our paper is on the influence of the position of a fund within its family. So far only the influence of the position of a fund within its segment on its subsequent inflows has been considered. Our empirical study of the US mutual fund market shows that fund growth depends on the relative position of a fund within its segment AND within its family. This leads to important incentives for fund managers.Mutual Funds, Fund Families, Performance Flow Relationship, Intra-Firm Competition

Why Managers Hold Shares of Their Firms: An Empirical Analysis

We examine the relationship between CEO ownership and stock market performance. Firms in which the CEO voluntarily holds a considerable share of outstanding stocks outperform the market by more than 10% p.a. after controlling for traditional risk factors. The effect is most pronounced in firms that are characterized by large managerial discretion of the CEO. The abnormal returns we document are one potential explanation why so many CEOs hold a large fraction of their own company’s stocks. We also examine several potential explanations why the existence of an owner CEO is not fully reflected in prices but leads to abnormal returns.CEO-Ownership, Asset Pricing with large shareholders.

Sex matters: Gender bias in the mutual fund industry

We document significantly lower inflows in female-managed funds than in male-managed funds. This result is obtained with field data and with data from a laboratory experiment. We find no gender differences in performance. Thus, rational statistical discrimination is unlikely to explain the fund flow effect. We conduct an implicit association test and find that subjects with stronger gender bias according to this test invest significantly less in female-managed funds. Our results suggest that gender bias affects investment decisions and thus offer a new potential explanation for the low fraction of women in the mutual fund industry. The internet appendix is available at https://doi.org/10.1287/mnsc.2017.2939 . This paper was accepted by Lauren Cohen, finance. </jats:p

Rapid Trading bei deutschen Aktienfonds: Evidenz aus einer großen deutschen Fondsgesellschaft

Rapid Trading, d.h. der kurzfristige Kauf und Verkauf von Fondsanteilen durch Fondsinvestoren, steht im Widerspruch zur Fondskonzeption, wonach Fonds Instrumente zum langfristigen Vermögensaufbau darstellen, und kann zu negativen Auswirkungen auf die Performance führen. Wir verwenden Daten einer anonymen Fondsgesellschaft über Zuflüsse und Abflüsse und dokumentieren erstmals deutliche Hinweise auf Rapid Trading bei deutschen Aktienfonds. Es scheint vor allem dadurch getrieben zu werden, dass manche Anleger Fonds als spekulative, lotterie-artige Investments nutzen. Wir finden jedoch allenfalls schwache Evidenz für eine negative Auswirkung des Rapid Trading auf die Fondsperformance vor dem Fondsskandal in den USA in 2003, und keinerlei Einfluss danach. --Investmentfonds,Rapid Trading,Fondsskandal

Market discipline and Basel Pillar 3 reporting

In&nbsp;this&nbsp;paper&nbsp;we&nbsp;examine&nbsp;the&nbsp;role&nbsp;of&nbsp;Basel&nbsp;Pillar&nbsp;3&nbsp;risk&nbsp;reporting&nbsp;in&nbsp;improving&nbsp;market&nbsp;transparency.&nbsp;Pillar&nbsp;3&nbsp;reporting&nbsp;requirements&nbsp;vary&nbsp;widely&nbsp;across&nbsp;countries;&nbsp;most&nbsp;banks&nbsp;in&nbsp;Europe&nbsp;release&nbsp;Pillar&nbsp;3&nbsp;risk&nbsp;reports&nbsp;annually&nbsp;after&nbsp;their&nbsp;annual&nbsp;reports&nbsp;are&nbsp;published&nbsp;and&nbsp;information&nbsp;contained&nbsp;in&nbsp;these&nbsp;reports does not elicit a stock market reaction.&nbsp;Australian banks, on the other hand, release Pillar 3 reports quarterly, independent&nbsp;of their annual reports. We&nbsp;find that this higher frequency of information disclosure&nbsp;is useful to investors and they react positively to reports of an increase in capital&nbsp;and negatively to a decrease in credit quality. We also find that investors ignore&nbsp;changes in the risk-weighted assets of a bank, but pay attention to total credit exposure.&nbsp;This study informs regulators and market participants on the efficacy of Pillar 3 risk&nbsp;reporting with several policy implications