Mutual fund manager behavior and performance:
Saved in:
| Main Author: | |
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| Format: | Thesis Book |
| Language: | German |
| Published: |
2009
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVII, 151 S. graph. Darst. |
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| 245 | 1 | 0 | |a Mutual fund manager behavior and performance |c submitted by Alexander Ising |
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Record in the Search Index
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| adam_text | Titel: Mutual fund manager behavior and performance
Autor: Ising, Alexander
Jahr: 2009
Contents
1 Introduction
1.1 Motivation ..............................
1.2 Literature................................
1.3 Results................................. 6
2 Data 8
3 Disposition Effect and Mutual Fund Performance 12
3.1 Introduction..........................• • ¦ • ^
3.2 Methodology............................. 16
3.3 Extent of the Disposition Effect Among Mutual Fund Managers . 18
3.3.1 Realized Profits of Mutual Funds............... 18
3.3.2 Extent of the Disposition Effect Among Mutual Fund
Managers....................,....-. 20
3.3.3 Fund Managers Investment Decisions........... 26
3.4 Determinants of the Disposition Effect............... 31
3.4.1 Impact of Fund Characteristics on the Realization of Gains
and Losses.......................... 31
3.4.2 Impact of the Economic Environment on the Realization
of Gains and Losses..................... 38
3.5 Disposition Effect and Performance , . ,...........• • 40
3.5.1 Alphas of Mutual Funds and the Disposition Effect .... 40
3.5.2 Link Between the Timing of Transactions and the Dispo-
sition Effect.......................... 47
3.6 Influence of the DEM on a Stock s Fundamental Value..... 55
3.7 Conclusion .............................. 61
The Performance of Mutual Fund Managers Trades 63
4.1 Introduction.............................. 63
4.2 Methodology............................. 66
4.3 Empirical Results........................... 69
4.3.1 Odean (1999) ........................ 69
4.3.2 Calendar Time Portfolios.................. 74
4.4 The link between the SM and Mutual Funds........... 79
4.4.1 The SM of single Mutual Funds.............. 79
4.4.2 Investment Strategies .................... 81
4.4.3 Mutual Fund Characteristics................ 85
4.4.4 Economic Environment ................... 88
4.4.5 Mutual Fund Performance.................. 92
4.5 Conclusion .............................. 95
Analyst Recommendations and Mutual Funds 98
5.1 Introduction.............................. 98
5.2 Methodology............................. 103
5.3 Analyst Recommendations and Driving Factors.......... 106
5.3.1 Characteristics of Mutual Fund Holdings ......... 106
5.3.2 Link between Mutual Fund Characteristics and Analyst
Recommendations...................... 116
5.3.3 Impact of the Economic Environment........... 120
5.4 Performance Influence of Recommendations............ 125
5.4.1 Impact of Recommendations................ 125
5.4.2 Performance of Subportfolios................ 128
5.5 Conclusion.............................. 135
Vll
6 Conclusion
137
Bibliography
140
Vlll
List of Tables
2.1 Statistics for the Trades and Shares in the Holdings ....... 10
3.1 Realized Gains and Realized Losses for the whole Sample Period
and two Subperiods in bn USD.................... 18
3.2 Average PGR, PLR and DEM across all Equally Weighted Mu-
tual Funds on a USD and a Share Basis............... 21
3.3 Average PGR, PLR, and DEM across all Equally Weighted
Mutual Funds on a USD Basis from 1993 to 2005......... 24
3.4 The Characteristics of Mutual Fund Holdings in the Different
DEM Deciles............................. 27
3.5 Determinants of the DEM, the PGR, and the PLR....... 34
3.6 Link between the Alpha and the DEM Using the Carhart (1997)
4-Factor Model............................ 42
3.7 Link between the Alpha and the DEM Using the Fama and
French (1993) 3-Factor Model.................... 44
3.8 Link between the Information Ratios and the DEM Using the
Carhart (1997) 4-Factor Model..................... 46
3.9 Average PGR, PLR and DEM across all Equally Weighted Mu-
tual Funds on a USD and a Share Basis for Different Buy and
Sell Time Shifts............................ 48
3.10 Realized Gains and Realized Losses in bn USD for the Three
Different Sale Times......................... SO
IX
3.11 Average PGR, PLR and DEM across all Equally Weighted Mu-
tual Funds on a USD Basis for the Standard Case and Additional
Sales.................................. 52
3.12 Realized Gains, Realized Losses, Unrealized Gains, and Unreal-
ized Losses for the Standard Case and Additional Sales in bn
USD.................................. 53
3.13 Summary Statistics of the Variables Used for the Regression of
Equity Returns on Momentum, Liquidity Proxies, and the Cap-
ital Gains Overhang......................... 58
3.14 Regression of Equity Returns on Momentum, Liquidity Proxies,
and the Capital Gains Overhang.................. 59
3.15 Regression of Equity Returns on Momentum, Liquidity Proxies,
and the Disposition Effect...................... 61
4.1 Average Returns of Shares Bought/Sold and their Differences . . 70
4.2 SM of the Raw Returns of Calendar Time Portfolios from 1993-
2005, 1993-1999, and 2000-2005........,.......... 74
4.3 The Performance of Calendar Time Portfolios ........... 78
4.4 The Skills in the Trading Decisions on a Mutual Fund Basis from
1993 to 2005,1993 tol999 and 2000 to 2005............ 80
4.5 The Stock Characteristics in Different SM Deciles........ 82
4.6 The Impact of Mutual Fund Characteristics............ 87
4.7 Regressions of the SM on Economic Variables I.......... 90
4.8 Regressions of the SM on Economic Variables II......... 91
4.9 Relationship between the Alpha of Carhart s (1997) 4-Factor
Model and the SM ..........._............. 94
4.10 Regression of the alpha on the SM................, 95
5.1 Measures for the Use of Analyst Recommendations........107
5.2 Mutual Fund Holding Characteristics and the Percentage of Rated
Stocks.................................
5.3 Mutual Fund Holding Characteristics and the Percentage of Stock
Changes after Recommendation Changes.............. 113
5.4 Mutual Fund Holding Characteristics and the Percentage of Stock
Changes and Recommendation Changes.............. 115
5.5 Impact of Mutual Fund Characteristics............... 118
5.6 The Impact of Economic Variables................. 123
5.7 Impact of Analyst Recommendations on the Alphas of Carhart s
(1997) 4-Factor Model........................ 127
5.8 Returns of Stocks in the Holdings in Relation to Analyst Recom-
mendations .............................. 129
5.9 Intercept Tests for Return Differences............... 132
5.10 Mutual Fund Holding Characteristics in the Subportfolios .... 134
List of Figures
3.1 Realized Gains, Realized Losses, the Differences and the S P
500 from 1993 to 2005......................... 19
3.2 Histogram of the DEM on a USD Basis............... 22
3.3 The DEM from 1993 to 2005 on a USD Basis........... 25
3.4 Average Sharpe Ratio in the DEM Deciles............ 29
4.1 The Performance of Stocks before the Transactions of Mutual
Funds................................. 72
4.2 The Performance of Stocks after the Transactions of Mutual Funds 73
4.3 Skill Measure over Time....................... 76
4.4 The Volatility of Returns in SM - Deciles............. 84
5.1 The Measures over Time with the S P500.............109
5.2 Market Capitalization in Different Deciles............, 121
xn
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| spelling | Ising, Alexander Verfasser aut Mutual fund manager behavior and performance submitted by Alexander Ising 2009 XVII, 151 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2009 Diss.-Nr. 3626 Geschichte 1993-2005 gnd rswk-swf Anlageverhalten stw Institutioneller Anleger stw Investmentfonds stw Kapitalertrag stw USA stw Verhaltensökonomik stw Disposition (DE-588)4150212-7 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Offener Investmentfonds (DE-588)4305480-8 gnd rswk-swf Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content USA (DE-588)4078704-7 g Offener Investmentfonds (DE-588)4305480-8 s Disposition (DE-588)4150212-7 s Anlageverhalten (DE-588)4214003-1 s Performance Kapitalanlage (DE-588)4219415-5 s Geschichte 1993-2005 z DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018687068&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ising, Alexander Mutual fund manager behavior and performance Anlageverhalten stw Institutioneller Anleger stw Investmentfonds stw Kapitalertrag stw USA stw Verhaltensökonomik stw Disposition (DE-588)4150212-7 gnd Anlageverhalten (DE-588)4214003-1 gnd Offener Investmentfonds (DE-588)4305480-8 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd |
| subject_GND | (DE-588)4150212-7 (DE-588)4214003-1 (DE-588)4305480-8 (DE-588)4219415-5 (DE-588)4078704-7 (DE-588)4113937-9 |
| title | Mutual fund manager behavior and performance |
| title_auth | Mutual fund manager behavior and performance |
| title_exact_search | Mutual fund manager behavior and performance |
| title_full | Mutual fund manager behavior and performance submitted by Alexander Ising |
| title_fullStr | Mutual fund manager behavior and performance submitted by Alexander Ising |
| title_full_unstemmed | Mutual fund manager behavior and performance submitted by Alexander Ising |
| title_short | Mutual fund manager behavior and performance |
| title_sort | mutual fund manager behavior and performance |
| topic | Anlageverhalten stw Institutioneller Anleger stw Investmentfonds stw Kapitalertrag stw USA stw Verhaltensökonomik stw Disposition (DE-588)4150212-7 gnd Anlageverhalten (DE-588)4214003-1 gnd Offener Investmentfonds (DE-588)4305480-8 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd |
| topic_facet | Anlageverhalten Institutioneller Anleger Investmentfonds Kapitalertrag USA Verhaltensökonomik Disposition Offener Investmentfonds Performance Kapitalanlage Hochschulschrift |
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