Seasonal Asset Allocation: Evidence from Mutual Fund Flows potx

... model. 18 Seasonal Asset Allocation: Evidence from Mutual Fund Flows Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi, and Russ Wermers ∗ July 2012 Abstract This paper explores U.S. mutual fund flows, ... total net assets (TNA), aggregated across all mutual funds within that category. Exchanges consist of exchanges from other same-family funds into a given fund (excha...

Ngày tải lên: 30/03/2014, 12:20

... focuses on 3,185 equity funds from the CRSP Mutual Fund database from 1995-2005. 12 A fund is defined as an equity fund if at least 50% of its portfolio are in equity in all years from 1995-2005. To ... to get R 1 in cash, the fund needs to sell R 1 · (1 + λ) worth of assets, where λ > 0 is the level of illiquidity of the fund s assets. Thus, absent any inflows to the fund,...

Ngày tải lên: 16/03/2014, 14:21

... and SR mutual funds. Hypothesis 3a: SR mutual funds show different Jensen’s α from conventional mutual funds. Hypothesis 3b: SR mutual funds show different CAPM β from conventional mutual funds. IS ... SR mutual funds. Hypothesis 2a: SR mutual funds show lower financial return than conventional mutual funds. Hypothesis 2b: SR mutual funds show lower financial risk than conve...

Ngày tải lên: 23/03/2014, 12:21

... substitute stock mutual funds for bond mutual funds, or that when interest rates increase, investors holding bond mutual funds suffer losses that might induce them to buy instead stock mutual funds. Alternatively, ... financial fragility: Evidence from mutual fund flows. Journal of Financial Economics, 97(2):239– 262. 16 Working Paper/Document de travail 2012-39 Consumer Inte...

Ngày tải lên: 30/03/2014, 12:20

... net redemptions from institutional MMFs (discussed below), outflows from government MMFs totaled 7 percent of assets and exceeded (as a percentage of assets) outflows from prime funds. 60 55 ... prime funds had five-day outflows exceeding the new 30 percent weekly liquidity requirement, including eight funds with five-day outflows greater than 40 percent of assets. 61 Evidence...

Ngày tải lên: 07/03/2014, 08:20

... study ∗ Edward Altman is from the Stern School of Business, New York University. Amar Gande is from the Owen Graduate School of Management, Vanderbilt University. Anthony Saunders is from the Stern School of ... debt type and seniority from 1988-2Q 2003. 22 a value-weighted NYSE/NASDAQ/AMEX index for stocks) is subtracted from the loan or stock daily return respectively. We find evi...

Ngày tải lên: 15/03/2014, 07:20

... Affect Mutual Fund Behavior? JOSHUA M. POLLET and MUNGO WILSON ∗ ABSTRACT If actively managed mutual funds suffer from diminishing returns to scale, funds should alter investment behavior as assets ... so many mutual funds? Mutual fund families, market segmentation and financial performance, Working paper, INSEAD. Sirri, Erik R., and Peter Tufano, 1998, Costly search and mutual...

Ngày tải lên: 16/03/2014, 17:20

... and Small Cap Stock mutual funds. KEYWORDS: Mutual funds, Fund Performance, Fund Size, Iran 1- INTRODUCTION Mutual fund is basically a company that pools the money from a group of investors ... Analysis of Small Cap (Stock) Mutual Funds Fifty-three out of seventy-eight Iranian mutual funds were classified as Small Cap (Stock) mutual funds. The total fund size (as...

Ngày tải lên: 16/03/2014, 17:20

... www.pwc.com/us/assetmanagement Thoughts from the Boardroom PwC Mutual Fund Directors Roundtable 2012 Highlights October 2012 Thoughts from the Boardroom PwC Mutual Fund Directors ... Thoughts from the Boardroom PwC Mutual Fund Directors Roundtable 2012 | Highlights Page 1 Introduction PwC invited independent directors from the boards of some of the...

Ngày tải lên: 19/02/2014, 15:20

... bank’s total assets to the average total assets of all banks in percent, taken at each period. This ratio is meant to avoid spurious correlation stemming from a time trend in banks’ assets. We ... © 2012 International Monetary Fund WP/ 12/103 IMF Working Paper European Department Bank credit, asset prices and financial stability: Evidence from French banks 1 Prepared...

Ngày tải lên: 29/03/2014, 08:20