Essays on mutual funds' trading activity:
Gespeichert in:
1. Verfasser: | |
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Format: | Abschlussarbeit Buch |
Sprache: | English |
Veröffentlicht: |
Köln
2017
|
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
Beschreibung: | Titel auf dem Umschlag: Essays on mutual fund's trading activity |
Beschreibung: | x, 101 Seiten Diagramme |
Internformat
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245 | 1 | 0 | |a Essays on mutual funds' trading activity |c vorgelegt von Laura K. Dahm (M.Sc.) |
246 | 1 | 3 | |a Essays on mutual fund's trading activity |
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Datensatz im Suchindex
_version_ | 1804177687690870784 |
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adam_text | C ONTENTS
LIST OF TABLES IX
LIST OF FIGURES XI
1 INTRODUCTION 1
2 TRADING EFFICIENCY OF FUND FAMILIES: IMPACT ON FUND PERFORMANCE AND
IN
VESTMENT BEHAVIOR 7
2.1
INTRODUCTION..................................................................................................................
7
2.2 DATA AND
METHODOLOGY................................................................................................
11
2.2.1 DATA S O U R C E S
...................................................................................................
11
2.2.2 MEASURING TRADING DESK
EFFICIENCY..................................................................
12
2.2.3 SAMPLE
CHARACTERISTICS....................................................................................
14
2.2.4 CHARACTERISTICS OF THE EFFICIENCY M EASU
RE...................................................... 15
2.2.5 EFFICIENCY MEASURE AND FUND, FUND FAMILY, AND FUND PORTFOLIO
CHARACTERISTICS 16
2.3 TRADING EFFICIENCY AND PERFORM
ANCE...........................................................................
18
2.3.1 DOES TRADING DESK EFFICIENCY HAVE AN IMPACT ON FUND PERFORMANCE?
.... 18
2.3.2 DOES OUR MEASURE ACTUALLY CAPTURE TRADING DESK EFFICIENCY?
.....................
22
2.3.2.1 PLACEBO TEST: B O O TSTRAP
.................................................................. 22
2.3.2.2 PLACEBO TEST: EFFICIENCY MEASURE BASED ON OUTSOURCED INDEX FUNDS
23
2.4 TRADING EFFICIENCY AND TRADING STRATEG Y
..................................................................... 24
2.4.1 TRADING EFFICIENCY AND TU RN O V E
R.....................................................................
25
2.4.2 TRADING EFFICIENCY AND CASH P O S ITIO N
............................................................ 27
2.4.3 TRADING EFFICIENCY AND LIQUIDITY OF HELD STO C K S
..............................................
27
2.5 CONCLUSION
..................................................................................................................
31
3 MILK OR WINE: MUTUAL FUNDS* (DIS)ECONOMIES OF LIFE 33
3.1
INTRODUCTION..................................................................................................................
33
3.2 THEORETICAL FOUNDATION OF THE AGE-PERFORMANCE RELATIO N
.......................................... 37
3.2.1 LIABILITY OF NEWNESS T H E O R Y
...........................................................................
37
3.2.2 LIABILITY OF AGING TH E O RY
.................................................................................
38
3.3 D A T A
.............................................................................................................................
39
3.3.1 SAMPLE SE LE C TIO N
.............................................................................................
39
3.3.2 SUMMARY
STATISTICS...........................................................................................
39
3.4 IMPACT OF FUND AGE ON
PERFORMANCE...........................................................................
41
3.4.1 MAIN RESULT: LIABILITY OF NEWNESS VERSUS LIABILITY OF AGING
.........................
41
3.4.2 R O B U STN
ESS......................................................................................................
45
3.4.2.1 INCUBATION B IA S
.................................................................................
45
3.4.2.2 INFLUENCES OF THE FUND FA M ILY
.........................................................
46
3.4.2.3 INFLUENCES OF THE FUND M ANAGER
......................................................
48
3.5 DO WE CAPTURE INNOVATION INDUCED PERFORMANCE EFFECTS?
..........................................
51
3.5.1 AGE-PERFORMANCE RELATION AMONG INDEX AND ACTIVELY MANAGED FUNDS .
. . 51
3.5.2 AGE-PERFORMANCE RELATION AND COM
PETITION................................................... 54
3.6 FUND AGE AND INNOVATIVE INVESTMENT B E H A V IO
R......................................................... 55
3.6.1 IMPACT OF FUND AGE ON TRADING B E H A V IO
R...................................................... 56
3.6.2 FUND AGE AND HARD-TO-VALUE S TO C K S
............................................................... 59
3.7 DEMAND FOR MATURE FUNDS AND THEIR POTENTIAL B E N E FITS
..........................................
62
3.7.1 DIVERSITY IN INVESTOR
CHARACTERISTICS...............................................................
62
3.7.2 STYLE AND PERFORMANCE E X TRE M ITY
.................................................................. 65
3.8 CONCLUSION
..................................................................................................................
69
4 SHAREHOLDER WEALTH AND MUTUAL FUNDS* TRADING ACTIVITY 71
4.1
INTRODUCTION..................................................................................................................
71
4.2 D A T A
..............................................................................................................................
74
4.2.1 SAMPLE SE LE C TIO N
.............................................................................................
74
4.2.2 SAMPLE CHARACTERISTICS
.......................................................................
75
4.3 MUTUAL FUND FLOWS OF WEALTH AND NON-WEALTH F U N D S
................................................
76
4.4 TRADING ACTIVITY OF WEALTH AND NON-WEALTH FUNDS
................................................... 79
4.4.1 MAIN
RESULTS......................................................................................................
79
4.4.2 ALTERNATIVE EXPLANATIONS AND IDENTIFICATION EX ERCISES
..................................
82
4.5 FURTHER CONSEQUENCES OF SHAREHOLDER W E A LTH
............................................................ 87
4.6 CONCLUSION
..................................................................................................................
92
BIBLIOGRAPHY
93
|
any_adam_object | 1 |
author | Dahm, Laura K. |
author_GND | (DE-588)112666555X |
author_facet | Dahm, Laura K. |
author_role | aut |
author_sort | Dahm, Laura K. |
author_variant | l k d lk lkd |
building | Verbundindex |
bvnumber | BV044403906 |
classification_rvk | QK 800 |
ctrlnum | (OCoLC)990781453 (DE-599)DNB1131634144 |
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 |
format | Thesis Book |
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spelling | Dahm, Laura K. Verfasser (DE-588)112666555X aut Essays on mutual funds' trading activity vorgelegt von Laura K. Dahm (M.Sc.) Essays on mutual fund's trading activity Köln 2017 x, 101 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Titel auf dem Umschlag: Essays on mutual fund's trading activity Dissertation Universität zu Köln 2017 Investitionsverhalten (DE-588)4114046-1 gnd rswk-swf Offener Investmentfonds (DE-588)4305480-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content (DE-588)4143413-4 Aufsatzsammlung gnd-content Offener Investmentfonds (DE-588)4305480-8 s Investitionsverhalten (DE-588)4114046-1 s DE-604 B:DE-101 application/pdf http://d-nb.info/1131634144/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029805888&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Dahm, Laura K. Essays on mutual funds' trading activity Investitionsverhalten (DE-588)4114046-1 gnd Offener Investmentfonds (DE-588)4305480-8 gnd |
subject_GND | (DE-588)4114046-1 (DE-588)4305480-8 (DE-588)4113937-9 (DE-588)4143413-4 |
title | Essays on mutual funds' trading activity |
title_alt | Essays on mutual fund's trading activity |
title_auth | Essays on mutual funds' trading activity |
title_exact_search | Essays on mutual funds' trading activity |
title_full | Essays on mutual funds' trading activity vorgelegt von Laura K. Dahm (M.Sc.) |
title_fullStr | Essays on mutual funds' trading activity vorgelegt von Laura K. Dahm (M.Sc.) |
title_full_unstemmed | Essays on mutual funds' trading activity vorgelegt von Laura K. Dahm (M.Sc.) |
title_short | Essays on mutual funds' trading activity |
title_sort | essays on mutual funds trading activity |
topic | Investitionsverhalten (DE-588)4114046-1 gnd Offener Investmentfonds (DE-588)4305480-8 gnd |
topic_facet | Investitionsverhalten Offener Investmentfonds Hochschulschrift Aufsatzsammlung |
url | http://d-nb.info/1131634144/04 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029805888&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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