Holdings: Essays on mutual funds' trading activity

Essays on mutual funds' trading activity:

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Bibliographic Details
Main Author:	Dahm, Laura K. (Author)
Format:	Thesis Book
Language:	English
Published:	Köln 2017
Subjects:	Investitionsverhalten Offener Investmentfonds Hochschulschrift Aufsatzsammlung
Online Access:	Inhaltsverzeichnis Inhaltsverzeichnis
Item Description:	Titel auf dem Umschlag: Essays on mutual fund's trading activity
Physical Description:	x, 101 Seiten Diagramme

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MARC


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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.
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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
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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
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