Seasonal asset allocation: Evidence from mutual fund flows

Over the past 30 years, mutual funds have become the dominant vehicle through which individual investors prepare for retirement via defined contribution plans. Further, money market mutual funds, which hold $2.7 trillion as of September 2013, are now a major part of the cash economy in the U.S. Accordingly, the flow of money to and from different mutual fund categories (e.g., equities vs. money funds) increasingly reflects the sentiment or risk aversion of the general population. In this study, we analyze flows between different categories of mutual funds, and find strong evidence of a seasonality in risk aversion of individual investors. Specifically, we find that aggregate investor flow data reveals an investor preference for U.S. money market and government bond mutual funds in the autumn, and equity funds in the spring, controlling for the influence of seasonality in past performance, advertising, liquidity needs, and capital gains overhang on fund flows. This movement of large amounts of money between fund categories is correlated with a proxy for variation in investor risk aversion across the seasons, consistent with investors' revealed preferences for safer investments in the fall, and riskier investments in the spring. We find similar evidence in Canadian mutual fund flows, and in flows among Australian funds, where the seasons are six months out of phase relative to Canada and the U.S. While prior evidence regarding the influence of seasonally changing risk aversion on financial markets relies on seasonal patterns in asset returns, we provide the first direct trade-related evidence

Why is order flow so persistent?

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally.Comment: 42 pages, 15 figure

Variation in plasma calcium analysis in primary care in Sweden - a multilevel analysis

<p>Abstract</p> <p>Background</p> <p>Primary hyperparathyroidism (pHPT) is a common disease that often remains undetected and causes severe disturbance especially in postmenopausal women. Therefore, national recommendations promoting early pHPT detection by plasma calcium (P-Ca) have been issued in Sweden. In this study we aimed to investigate variation of P-Ca analysis between physicians and health care centres (HCCs) in primary care in county of Skaraborg, Sweden.</p> <p>Methods</p> <p>In this cross sectional study of patients' records during 2005 we analysed records from 154 629 patients attending 457 physicians at 24 HCCs. We used multilevel logistic regression analysis (MLRA) and adjusted for patient, physician and HCC characteristics. Differences were expressed as median odds ratio (MOR).</p> <p>Results</p> <p>There was a substantial variation in number of P-Ca analyses between both HCCs (MOR_HCC1.65 [1.44-2.07]) and physicians (MOR_physician1.95 [1.85-2.08]). The odds for a P-Ca analysis were lower for male patients (OR 0.80 [0.77-0.83]) and increased with the number of diagnoses (OR 25.8 [23.5-28.5]). Sex of the physician had no influence on P-Ca test ordering (OR 0.93 [0.78-1.09]). Physicians under education ordered most P-Ca analyses (OR 1.69 [1.35-2.24]) and locum least (OR 0.73 [0.57-0.94]). More of the variance was attributed to the physician level than the HCC level. Different mix of patients did not explain this variance between physicians. Theoretically, if a patient were able to change both GP and HCC, the odds of a P-Ca analysis would in median increase by 2.45. Including characteristics of the patients, physicians and HCCs in the MLRA model did not explain the variance.</p> <p>Conclusions</p> <p>The physician level was more important than the HCC level for the variation in P-Ca analysis, but further exploration of unidentified contextual factors is crucial for future monitoring of practice variation.</p

Incidentalomas during imaging for primary hyperparathyroidism—incidence and clinical outcomes

Background: Imaging for pre-operative localisation of parathyroid glands in primary hyperparathyroidism is now routine. This has led to the detection of incidental lesions (incidentalomas) in other organs, the nature of which is not well characterised. The aim of this study was to determine the incidence, characteristics and outcomes in patients who had incidental findings on parathyroid imaging. Methods: Records of patients who underwent imaging for primary hyperparathyroidism over 2 years were reviewed to identify incidental lesions detected on parathyroid imaging. Patients with persistent or renal hyperparathyroidism were excluded. Details on the management of detected incidentalomas were obtained from patient records. Results: Incidentalomas were identified in 17 of 170 patients (10 %) undergoing parathyroid imaging. Incidentalomas included thyroid (n = 11), breast (n = 3), lateral compartment of the neck (n = 1), lung (n = 1) and clavicle (n = 1). However, no disease of clinical significance needing treatment was detected on further investigation. Conclusions: Although a significant proportion of patients undergoing parathyroid imaging had incidental lesions detected, these seem to be of little clinical significance. The morbidity and cost of further interventions on these incidentalomas need to be weighed against the benefits of routine imaging in improving outcomes of first-time surgery in patients with primary hyperparathyroidism. Keywords: Parathyroid gland, Primary hyperparathyroidism, Imaging, Incidentaloma

Governance and Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds

Based on the records of 1183 individual fund managers from 1985 to 2010, we investigate the compensation and discipline mechanisms in the closed-end fund industry and their implications for manager performance and fund premium. We find that managers generating high surplus, as proxied by fund premium, capture rents on their skills by expansions of assets under management and increases in management fees; however, managers with a high discount are not penalized accordingly. Managers with poor NAV performance suffer from asset contractions, but such discipline is insignificant for managers with long tenure. Consistent with manager entrenchment and decreasing returns to scale, NAV performance and premium decline with manager tenure and the size of assets under management. Finally, in support of the notion that adjustments of assets under management and management fees in response to extreme performance break the premium-performance relation, we find that the fund premium responds positively only to the medium-range NAV performance

Institutional Herding in Financial Markets: New Evidence Through the Lens of a Simulated Model

Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investor-specific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model