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On Mutual Fund Family Diversification, Performance, Persistence and Flows.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	On Mutual Fund Family Diversification, Performance, Persistence and Flows./
Author:	Kaprielyan, Margarita.
Description:	1 online resource (228 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-07(E), Section: A.
Contained By:	Dissertation Abstracts International79-07A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355675788

On Mutual Fund Family Diversification, Performance, Persistence and Flows.
Kaprielyan, Margarita.

On Mutual Fund Family Diversification, Performance, Persistence and Flows. - 1 online resource (228 pages)

Source: Dissertation Abstracts International, Volume: 79-07(E), Section: A.

Thesis (Ph.D.)--Florida Atlantic University, 2017.

Includes bibliographical references

The first essay introduces a portfolio theory motivated approach to measuring mutual fund family-level diversification and hedging strategies. Diversification of idiosyncratic risk (systematic risk) is measured by the average cross-fund correlation in idiosyncratic returns (predicted returns from the multifactor model). Using new methodology, I find evidence of cross-sectional variation in family-level diversification and examine several fund families' characteristics as the determinants of this cross-sectional variation. On average, fund families that offer more objectives are more diversified in terms of both idiosyncratic and systematic risks; however, in the sub-sample of larger fund families, greater number of objectives is associated with increase (decrease) in idiosyncratic (systematic) risk diversification. Families that concentrate in the retail sector are more diversified. I also find that less diversification of idiosyncratic risk on the family level is associated with better risk-adjusted performance, while greater diversification of systematic risk is associated with greater performance during an economic downturn.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355675788Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

On Mutual Fund Family Diversification, Performance, Persistence and Flows.
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245 1 0 $a On Mutual Fund Family Diversification, Performance, Persistence and Flows.
264 0 $c 2017
300 $a 1 online resource (228 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-07(E), Section: A.
500 $a Adviser: Anna Agapova.
502 $a Thesis (Ph.D.)--Florida Atlantic University, 2017.
504 $a Includes bibliographical references
520 $a The first essay introduces a portfolio theory motivated approach to measuring mutual fund family-level diversification and hedging strategies. Diversification of idiosyncratic risk (systematic risk) is measured by the average cross-fund correlation in idiosyncratic returns (predicted returns from the multifactor model). Using new methodology, I find evidence of cross-sectional variation in family-level diversification and examine several fund families' characteristics as the determinants of this cross-sectional variation. On average, fund families that offer more objectives are more diversified in terms of both idiosyncratic and systematic risks; however, in the sub-sample of larger fund families, greater number of objectives is associated with increase (decrease) in idiosyncratic (systematic) risk diversification. Families that concentrate in the retail sector are more diversified. I also find that less diversification of idiosyncratic risk on the family level is associated with better risk-adjusted performance, while greater diversification of systematic risk is associated with greater performance during an economic downturn.
520 $a The second essay examines whether new measures of diversification are additional determinants of fund family flows and flow volatility. I find that fund family capital flows increase in systematic risk focus, as more of the fund family's assets are held by institutional investors. Family flow volatility decreases in diversification of systematic risk during market downturn, increase in market uncertainty and during recession. I further find that families with greater concentration in the retail sector (institutional sector) exhibit less family capital flow volatility as the diversification of systematic risk (idiosyncratic risk) increases. Fund-level volatility of focused and concentrated funds within diversified families is greater than in less diversified families, signaling that diversification on the family level may decrease participation costs for the investors. Moreover, in support of participation cost hypothesis, I find that the performance of worst performing funds within fund families increases in the family-level diversification; thus, family-level diversification affects the convexity in the fund flow-performance relation documented in the previous studies. On the family-level, diversification is associated with convexity in flow-performance relation, while family focus with more direct flow-performance relation.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Florida Atlantic University. $b Finance. $3 1193621
773 0 $t Dissertation Abstracts International $g 79-07A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10681052 $z click for full text (PQDT)