Mutual fund performance and performance persistence: the impact of fund flows and manager changes
Gespeichert in:
1. Verfasser: | |
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Format: | Abschlussarbeit Buch |
Sprache: | English |
Veröffentlicht: |
Wiesbaden
Betriebswirtschaftlicher Verlag Gabler
2011
|
Ausgabe: | 1. ed. |
Schriftenreihe: | Geld - Banken - Börsen
|
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Beschreibung: | XXIV, 588 S. 210 mm x 148 mm |
ISBN: | 9783834927804 3834927805 |
Internformat
MARC
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245 | 1 | 0 | |a Mutual fund performance and performance persistence |b the impact of fund flows and manager changes |c Peter Lückoff |
250 | |a 1. ed. | ||
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Datensatz im Suchindex
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adam_text | IMAGE 1
LIST OF TABLES XIX
LIST OF FIGURES XXIII
INTRODUCTION 1
I DELEGATED PORTFOLIO MANAGEMENT 11
1 INSTITUTIONAL SETTING 11
2 AGENCY CONFLICTS 77
II INVESTMENT PERFORMANCE 135
3 PERFORMANCE MEASUREMENT 135
4 DYNAMIC ASPECTS OF MUTUAL FUND PERFORMANCE 243
III EMPIRICAL STUDY 327
5 OBJECTIVES, DATA AND METHODOLOGY 327
6 PERFORMANCE PERSISTENCE 347
7 FUND FLOWS AND MANAGER CHANGES AS EQUILIBRIUM MECHANISMS 409
8 TIME EFFECTS, EXTREME FLOWS AND CAPACITY CONSTRAINTS 477
CONCLUSION AND OUTLOOK 509
A APPENDIX 527
BIBLIOGRAPHY 551
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1008180076
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
LIST OF TABLES XIX
LIST OF FIGURES XXIII
INTRODUCTION 1
I DELEGATED PORTFOLIO MANAGEMENT 11
1 INSTITUTIONAL SETTING 11
1.1 ROLE OF MUTUAL FUNDS 13
1.2 OBJECTIVES OF INVESTORS 22
1.3 INVESTMENT STRATEGIES 26
1.3.1 RETURN PREDICTABILITY AND EQUILIBRIUM CONSIDERATIONS . .. 26 1.3.2
ACTIVE VERSUS PASSIVE INVESTING 33
1.3.3 SPECIFIC INVESTMENT STRATEGIES 39
1.3.3.1 INDEXING AND ENHANCED INDEXING 39
1.3.3.2 FUNDAMENTAL INDEXING 44
1.3.3.3 ACTIVE LONG-ONLY STRATEGIES 45
1.3.3.4 ACTIVE LONG-SHORT STRATEGIES 47
1.3.3.5 ACTIVIST INVESTORS 48
1.4 ORGANIZATIONAL DESIGN 50
1.4.1 OPEN-END FUNDS 53
1.4.2 EXCHANGE-TRADED FUNDS 62
1.4.3 RETAIL STRUCTURED PRODUCTS 64
1.4.4 CLOSED-END FUNDS 67
1.4.5 HEDGE FUNDS 68
1.4.6 COMPARISON OF DIFFERENT STRUCTURES 70
1.5 DISCUSSION 74
IMAGE 3
CONTENTS
AGENCY CONFLICTS 77
2.1 POTENTIAL CONFLICTS OF INTEREST 78
2.1.1 INVESTORS AND PORTFOLIO MANAGERS 80
2.1.1.1 CAREER CONCERNS AND TOURNAMENTS 80
2.1.1.2 HERDING 85
2.1.2 INVESTORS AND INVESTMENT MANAGEMENT COMPANIES 87
2.1.2.1 DISTRIBUTION CHANNELS AND ADVERTISEMENT 87
2.1.2.2 FUND FAMILIES AND STAR MANAGERS 91
2.1.2.3 BENCHMARK GAMING AND PERFORMANCE MANIPULATION 96
2.1.3 COSTS AND POTENTIAL THIRD-PARTY BENEFITS 100
2.1.3.1 COSTS 101
2.1.3.2 DIRECTED BROKERAGE AND SOFT DOLLARS 102
2.1.3.3 MARKET TIMING AND LATE TRADING 104
2.1.4 DISCUSSION 106
2.2 POTENTIAL SOLUTIONS FOR REDUCING AGENCY CONFLICTS 107
2.2.1 INVESTMENT STRATEGY AND INSTRUMENTS 109
2.2.2 EXTERNAL GOVERNANCE I LL
2.2.2.1 TRANSPARENCY AND COMPETITION I LL
2.2.2.2 MARKET-BASED CONTROL 113
2.2.3 INTERNAL GOVERNANCE 117
2.2.3.1 FUND BOARD 118
2.2.3.2 MANAGER CHANGES 120
2.2.3.3 OPTIMAL FUND SIZE 123
2.2.4 INCENTIVE CONTRACTS AND OWNERSHIP STRUCTURES 124
2.2.4.1 PERFORMANCE-BASED COMPENSATION 124
2.2.4.2 OWNERSHIP STRUCTURES 128
2.2.5 DISCUSSION 132
INVESTMENT PERFORMANCE 135
PERFORMANCE MEASUREMENT 135
3.1 CHOICE OF THE CORRECT PERFORMANCE MEASURE 136
3.1.1 ASSET CLASS AND INVESTMENT STRATEGY 138
3.1.2 EXISTING PORTFOLIO 139
IMAGE 4
CONTENTS XIII
3.1.3 CHRONOLOGICAL FOCUS 140
3.1.4 INSTITUTIONAL SETTING 140
3.2 RATIO-BASED PERFORMANCE EVALUATION 141
3.2.1 INFORMATION RATIO AND SHARPE RATIO 142
3.2.2 TREYNOR RATIO 143
3.2.3 RATIOS FOR NON-NORMALLY DISTRIBUTED RETURNS 143
3.3 RISK-BASED PERFORMANCE EVALUATION 146
3.3.1 JENSEN MODEL 148
3.3.1.1 BENCHMARK PROBLEM 150
3.3.1.2 TIME VARIABILITY 152
3.3.1.3 STATISTICAL PROBLEMS 155
3.3.2 MULTIFACTOR MODELS 157
3.3.2.1 FAMA-FRENCH MODEL: SIZE AND VALUE EFFECT . . .. 157 3.3.2.2
CARHART MODEL: MOMENTUM EFFECT 159
3.3.2.3 CONSTRUCTION OF FACTOR-MIMICKING PORTFOLIOS . . . 161 3.3.3
TIMING MODELS AND CONDITIONAL PERFORMANCE EVALUATION . . 165 3.4
INTERPRETATION OF MULTIFACTOR MODELS 168
3.4.1 RISK-BASED EXPLANATIONS 169
3.4.1.1 TIME-VARYING ASSET COMPOSITION 169
3.4.1.2 MACROECONOMIC RISK, BUSINESS CYCLE AND DEFAULT RISK 172
3.4.1.3 FOREIGN EXCHANGE RISK 174
3.4.1.4 LIQUIDITY RISK 174
3.4.1.5 HIGHER MOMENTS AND DOWNSIDE RISK 178
3.4.1.6 IDIOSYNCRATIC RISK 180
3.4.2 BEHAVIORAL EXPLANATIONS 182
3.4.3 MICROSTRUCTURE EFFECTS 185
3.4.4 METHODOLOGICAL ISSUES 188
3.4.5 STATISTICAL ISSUES 191
3.4.6 DISCUSSION 193
3.5 PORTFOLIO-INFORMATION-BASED PERFORMANCE EVALUATION 194
3.5.1 CHARACTERISTIC-BASED MODELS 196
3.5.2 HOLDINGS-BASED MODELS 200
3.5.3 TRADE-BASED MODELS 202
3.6 IMPROVED STATISTICAL METHODS 203
IMAGE 5
CONTENTS
3.6.1 BOOTSTRAPPING 203
3.6.2 BAYESIAN APPROACH 204
3.6.3 DAILY DATA 209
3.6.4 CONTROLLING FOR CROSS-CORRELATION 209
3.7 EMPIRICAL RESULTS ON ACTIVE MUTUAL FUNDS 210
3.7.1 FUND PERFORMANCE 210
3.7.2 INVESTOR PERFORMANCE 213
3.7.3 IMPLICATIONS FOR ACTIVE MUTUAL FUND MANAGEMENT 216
3.8 CROSS-SECTIONAL PERFORMANCE DETERMINANTS 221
3.8.1 MANAGERIAL SKILL AND INFORMATION-RELATED DETERMINANTS . . 222
3.8.1.1 INVESTMENT STYLE 222
3.8.1.2 INFORMATION ACCESS 227
3.8.1.3 MANAGER CHARACTERISTICS 230
3.8.2 COST-RELATED DETERMINANTS 232
3.8.3 FUND-RELATED DETERMINANTS 237
3.9 DISCUSSION 241
DYNAMIC ASPECTS OF MUTUAL FUND PERFORMANCE 243
4.1 PERFORMANCE PERSISTENCE AND PREDICTABILITY 245
4.1.1 PERFORMANCE PERSISTENCE 245
4.1.2 POTENTIAL DATA BIASES 249
4.1.3 METHODOLOGICAL ASPECTS 251
4.1.4 POTENTIAL MODEL BIASES 255
4.1.5 DISCUSSION 257
4.2 PERFORMANCE-FLOW RELATIONSHIP . 258
4.2.1 CHARACTERISTICS OF FUND FLOWS 258
4.2.2 PERFORMANCE-FLOW RELATIONSHIP 260
4.2.3 SHAPE OF THE PERFORMANCE-FLOW RELATIONSHIP 263
4.2.4 IMPACT OF COSTS AND BROKERS ON FUND FLOWS 265
4.2.5 SPEED OF REACTION 272
4.2.6 EVIDENCE FROM GROSS FLOWS 273
4.2.7 DISCUSSION 276
4.3 FUND FLOWS AS EQUILIBRIUM MECHANISM 277
4.3.1 CASH POSITION 282
4.3.2 TRANSACTION COSTS AND DISTORTED SECURITY SELECTION 283
IMAGE 6
CONTENTS XV
4.3.3 OWNERSHIP 287
4.3.4 MARKET CAPITALIZATION 290
4.3.5 PORTFOLIO CONCENTRATION 292
4.3.6 DISCUSSION 295
4.4 MANAGER CHANGES AS EQUILIBRIUM MECHANISMS 297
4.4.1 WINNER FUNDS 298
4.4.2 LOSER FUNDS 299
4.4.3 EMPIRICAL RESULTS 300
4.4.4 INTERACTION WITH FUND FLOWS 301
4.5 APPROACHES TO REDUCE THE DETRIMENTAL IMPACT OF FLOWS ON PERFOR-
MANCE 302
4.5.1 REDEMPTION RESTRICTIONS 303
4.5.2 FEE STRUCTURE 306
4.5.3 CREATION RESTRICTIONS 309
4.5.4 TRADING AND PRICING MECHANISMS 310
4.5.5 INVESTMENT STRATEGY 316
4.5.6 ORGANIZATIONAL FUND STRUCTURE 320
4.6 DISCUSSION 325
EMPIRICAL STUDY 327
OBJECTIVES, DATA AND METHODOLOGY 327
5.1 OBJECTIVES 327
5.2 DATA 332
5.3 METHODOLOGY 339
5.3.1 RANKED PORTFOLIO TEST 340
5.3.1.1 FORMATION 340
5.3.1.2 EVALUATION 342
5.3.2 REGRESSION APPROACH 345
PERFORMANCE PERSISTENCE 347
6.1 RESEARCH QUESTIONS AND HYPOTHESES 347
6.2 PERFORMANCE AND CHARACTERISTICS OF DECILE PORTFOLIOS 349
6.2.1 CHARACTERISTICS 349
6.2.2 PERFORMANCE 354
IMAGE 7
X V J CONTENTS
6.2.3 ALTERNATIVE RANKING MEASURES 362
6.3 PERFORMANCE OF INDIVIDUAL DECILE FUNDS 369
6.3.1 OBJECTIVE 369
6.3.2 METHODOLOGY 371
6.3.3 BAYESIAN ALPHAS 374
6.3.4 ALTERNATIVE ESTIMATION METHODOLOGIES 385
6.4 ALTERNATIVE FORMATION AND EVALUATION PERIODS 391
6.5 MIGRATION 400
7 FUND FLOWS AND MANAGER CHANGES AS EQUILIBRIUM MECHANISMS 409 7.1
RESEARCH QUESTIONS AND HYPOTHESES 409
7.1.1 WINNER FUNDS 410
7.1.2 LOSER FUNDS 414
7.2 METHODOLOGY 416
7.2.1 PORTFOLIO FORMATION 416
7.2.2 SPECIFICATION OF MULTIFACTOR MODELS 419
7.3 WINNER FUNDS 422
7.3.1 SINGLE SORTING 422
7.3.2 DOUBLE SORTING 434
7.4 LOSER FUNDS 439
7.4.1 SINGLE SORTING 439
7.4.2 DOUBLE SORTING 453
7.5 WINNER-MINUS-LOSER SPREAD 459
7.6 BEFORE-FEE ANALYSIS 462
7.7 REGRESSION ANALYSIS 468
7.7.1 MODEL SPECIFICATION 468
7.7.2 RESULTS 470
7.8 DISCUSSION 472
8 TIME EFFECTS, EXTREME FLOWS AND CAPACITY CONSTRAINTS 477
8.1 RESEARCH QUESTIONS AND HYPOTHESES 477
8.2 ALTERNATIVE FORMATION AND EVALUATION PERIODS 481
8.2.1 WINNER FUNDS 481
8.2.2 LOSER FUNDS 485
8.3 EXTREME FUND FLOWS AND FUND SIZE 487
IMAGE 8
CONTENTS XVII
8.3.1 PORTFOLIO FORMATION 487
8.3.2 WINNER FUNDS 488
8.3.3 LOSER FUNDS 494
8.4 INTERACTION OF FUND FLOWS AND FUND SIZE 498
8.4.1 PORTFOLIO FORMATION 498
8.4.2 WINNER FUNDS 499
8.4.3 LOSER FUNDS 504
CONCLUSION AND OUTLOOK 509
A APPENDIX 527
A.I FACTOR-MIMICKING PORTFOLIOS 527
A.2 SAMPLE SELECTION 529
A.3 ALTERNATIVE ESTIMATION METHODOLOGIES 530
A.4 ALTERNATIVE FORMATION AND EVALUATION PERIODS 531
A.4.1 WINNER FUNDS 531
A.4.2 LOSER FUNDS 533
A.5 EXTREME FUND FLOWS AND FUND SIZE 538
A.5.1 WINNER FUNDS 538
A.5.2 LOSER FUNDS 543
A.6 INTERACTION OF FUND FLOWS AND FUND SIZE 549
BIBLIOGRAPHY 551
|
any_adam_object | 1 |
author | Lückoff, Peter |
author_facet | Lückoff, Peter |
author_role | aut |
author_sort | Lückoff, Peter |
author_variant | p l pl |
building | Verbundindex |
bvnumber | BV036865107 |
classification_rvk | QK 530 |
ctrlnum | (OCoLC)704803945 (DE-599)DNB1008180076 |
dewey-full | 332.6327 |
dewey-hundreds | 300 - Social sciences |
dewey-ones | 332 - Financial economics |
dewey-raw | 332.6327 |
dewey-search | 332.6327 |
dewey-sort | 3332.6327 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
edition | 1. ed. |
format | Thesis Book |
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id | DE-604.BV036865107 |
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indexdate | 2024-07-09T22:49:42Z |
institution | BVB |
isbn | 9783834927804 3834927805 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020780793 |
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owner_facet | DE-355 DE-BY-UBR DE-N2 |
physical | XXIV, 588 S. 210 mm x 148 mm |
publishDate | 2011 |
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publisher | Betriebswirtschaftlicher Verlag Gabler |
record_format | marc |
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spelling | Lückoff, Peter Verfasser aut Mutual fund performance and performance persistence the impact of fund flows and manager changes Peter Lückoff 1. ed. Wiesbaden Betriebswirtschaftlicher Verlag Gabler 2011 XXIV, 588 S. 210 mm x 148 mm txt rdacontent n rdamedia nc rdacarrier Geld - Banken - Börsen Zugl.: Gießen, Univ., Diss., 2010 Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Offener Investmentfonds (DE-588)4305480-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Offener Investmentfonds (DE-588)4305480-8 s Performance Kapitalanlage (DE-588)4219415-5 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020780793&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Lückoff, Peter Mutual fund performance and performance persistence the impact of fund flows and manager changes Performance Kapitalanlage (DE-588)4219415-5 gnd Offener Investmentfonds (DE-588)4305480-8 gnd |
subject_GND | (DE-588)4219415-5 (DE-588)4305480-8 (DE-588)4113937-9 |
title | Mutual fund performance and performance persistence the impact of fund flows and manager changes |
title_auth | Mutual fund performance and performance persistence the impact of fund flows and manager changes |
title_exact_search | Mutual fund performance and performance persistence the impact of fund flows and manager changes |
title_full | Mutual fund performance and performance persistence the impact of fund flows and manager changes Peter Lückoff |
title_fullStr | Mutual fund performance and performance persistence the impact of fund flows and manager changes Peter Lückoff |
title_full_unstemmed | Mutual fund performance and performance persistence the impact of fund flows and manager changes Peter Lückoff |
title_short | Mutual fund performance and performance persistence |
title_sort | mutual fund performance and performance persistence the impact of fund flows and manager changes |
title_sub | the impact of fund flows and manager changes |
topic | Performance Kapitalanlage (DE-588)4219415-5 gnd Offener Investmentfonds (DE-588)4305480-8 gnd |
topic_facet | Performance Kapitalanlage Offener Investmentfonds Hochschulschrift |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020780793&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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