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Essays on Mutual Fund Performance and Conflict of Interest.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Mutual Fund Performance and Conflict of Interest./
Author:	Shen, Ke.
Description:	1 online resource (174 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Contained By:	Dissertation Abstracts International78-12A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355244090

Essays on Mutual Fund Performance and Conflict of Interest.
Shen, Ke.

Essays on Mutual Fund Performance and Conflict of Interest. - 1 online resource (174 pages)

Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

In this dissertation, I address two main topics regarding mutual fund. One is performance persistence in general, and the other is conflict of interest for investment bank-affiliated mutual funds.

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

Mode of access: World Wide Web

ISBN: 9780355244090Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Mutual Fund Performance and Conflict of Interest.
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100 1 $a Shen, Ke. $3 1180746
245 1 0 $a Essays on Mutual Fund Performance and Conflict of Interest.
264 0 $c 2017
300 $a 1 online resource (174 pages)
336 $a text $b txt $2 rdacontent
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500 $a Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
500 $a Adviser: Tong Yao.
502 $a Thesis (Ph.D.) $c The University of Iowa $d 2017.
504 $a Includes bibliographical references
520 $a In this dissertation, I address two main topics regarding mutual fund. One is performance persistence in general, and the other is conflict of interest for investment bank-affiliated mutual funds.
520 $a The first chapter examines the concentration of active mutual fund managers' research efforts toward information-intense stocks and the degree to which they are successful in such efforts. We show that funds that hold stocks with high information intensity exhibit large performance dispersion, indicating that both skilled and unskilled fund managers are attracted to such stocks. Moreover, the performance of these funds is predictable by fund skill proxies such as past fund alphas, and the well-known phenomenon of performance persistence is only observed among funds with high information intensity. The effect of fund information intensity on performance persistence is robust to the control of characteristics of fund holdings such as market cap, illiquidity, and return volatility, and is different from the effect of existing measures of fund activeness. Finally, information intensity increases fund flow sensitivity to past performance. These findings suggest that, with costly information production, information intensity is an important dimension of active investment decisions by fund managers and an important dimension of fund selection decisions by investors.
520 $a The second chapter examines the conflict of interest in IPO share allocations by investment banks and by fund management companies. Affiliated mutual funds successfully avoid cold IPOs. However, they are "crowded out" of hot IPOs -- the IPO shares they do receive are inversely related to the hotness of the IPOs. Within affiliated fund families, funds with larger size, higher expense ratio, and higher past returns are more likely to receive IPO shares. However, these funds receive less allocations for hotter IPOs. Overall, my findings present a more complicated picture to the conflict of interest in IPO share allocations than suggested by prior studies.
520 $a The third chapter examines the relation between mutual fund turnover and performance persistence. Existing studies have reported mixed empirical relations between portfolio turnover and mutual fund performance. This paper documents strong heterogeneity in the turnover-performance relation, which helps reconcile the contrasting evidence in prior studies. While there is no significant relation between turnover and fund performance on average, performance is particularly dispersed among high-turnover funds. Further, performance persistence is much stronger among funds with higher turnover. These findings are consistent with the notion that turnover is persistently and positively related to performance for some fund - possibly due to the fact that turnover is driven by available investment opportunities, while persistently and negatively related to performance for other funds - possibly due to high trading costs associated with high turnover. Finally, we find that the relation between turnover and performance persistence is largely a cross-sectional effect, not a time-series effect.
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 The University of Iowa. $b Business Administration. $3 1179113
773 0 $t Dissertation Abstracts International $g 78-12A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10281544 $z click for full text (PQDT)