We document significantly lower inflows in female-managed funds than in male-managed funds. This result is obtained with field data and with data from a laboratory experiment. We find no gender ...differences in performance. Thus, rational statistical discrimination is unlikely to explain the fund flow effect. We conduct an implicit association test and find that subjects with stronger gender bias according to this test invest significantly less in female-managed funds. Our results suggest that gender bias affects investment decisions and thus offer a new potential explanation for the low fraction of women in the mutual fund industry.
The internet appendix is available at
https://doi.org/10.1287/mnsc.2017.2939
.
This paper was accepted by Lauren Cohen, finance.
We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk ...affects the cross-sectional variation in fund returns and that investments in both tail-sensitive stocks and options drive tail risk. Moreover, leverage and exposure to funding liquidity shocks are important determinants of tail risk. We find evidence of some funds being able to time tail risk exposure prior to the 2008–2009 financial crisis.
Tournaments in Mutual-Fund Families Kempf, Alexander; Ruenzi, Stefan
The Review of financial studies,
04/2008, Letnik:
21, Številka:
2
Journal Article
Recenzirano
Odprti dostop
We examine intrafirm competition in the mutual-fund industry. We test the hypothesis that fund managers within mutual-fund families compete with each other in a tournament. Our empirical study of the ...US equity mutual-fund market shows that they adjust the risk they take depending on the relative position within their fund family. The direction of the adjustment depends on the competitive situation in that family. Risk adjustments are particularly pronounced among managers of funds with high expense ratios, which are managed by a single manager and which belong to large families.
Using daily advertising data, we analyze the short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that ...advertising positively affects attention. However, it has only little impact on turnover and liquidity. Most importantly, short-term stock returns are not significantly influenced by advertising. Further results suggest that previous findings of an economically significant positive relation between advertising and returns are due to reverse causality. Thus, the belief that stock prices can be temporarily inflated via advertising is misguided.
We hypothesize that a source of commonality in a stock's liquidity arises from the correlated liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we find that ...stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds and funds' correlated liquidity shocks. We obtain inferences supporting causality from an exogenous flow shock for mutual funds in the aftermath of the 2003 mutual fund scandal.
This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based ...on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang’s (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.
We suggest a risk-based explanation of the momentum anomaly. Controlling for the exposure to systematic crash risk reduces the momentum effect from a significant 11.94% p.a. to an insignificant 1.84% ...p.a. Similar results are obtained in a broad sample of international equity markets.
•The paper proposes a risk-based explanation of the momentum anomaly on equity markets.•Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% p.a. to an insignificant 1.84% p.a.•We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 international equity markets.
Financial Advice and Bank Profits Hoechle, Daniel; Ruenzi, Stefan; Schaub, Nic ...
The Review of financial studies,
11/2018, Letnik:
31, Številka:
11
Journal Article
Recenzirano
We use a unique data set from a large retail bank containing internal managerial accounting data on revenues and costs per client to analyze how banks and their financial advisors generate profits ...with customers. We find that advised transactions are associated with higher profits than independently executed trades of the same client. The bank’s own mutual funds and structured products are most profitable for the bank, and profits increase with trade size. We show that advisors recommend exactly those transactions. Furthermore, we find that advised clients achieve a worse performance than independent clients, suggesting that advisors put their employer’s interest first.
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a ...stock’s return (liquidity) is lowest at the same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is lowest when market liquidity is lowest.
: We examine overconfidence among equity mutual fund managers. While overconfidence has been extensively documented among retail investors, evidence from professional investors is scarce. Consistent ...with theories of overconfidence, we find that fund managers trade more after good past performance. The higher trading activity after good performance is driven by individual portfolio performance, while the market performance has no significant impact. We rule out some alternative explanations for our results like increased trading as a response to tournament incentives, as a response to inflows, or as a rational reaction due to managerial learning about abilities.
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