The Impact of Fund Flows and Manager Changes
E-Book, Englisch, 588 Seiten, eBook
Reihe: Geld - Banken - Börsen
ISBN: 978-3-8349-6527-1
Verlag: Betriebswirtschaftlicher Verlag Gabler
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
Dr. Peter Lückoff was a research associate at the Center for Finance and Banking at the University of Giessen (Professor Wolfgang Bessler), a junior research fellow at the Pensions Institute of Cass Business School, London, and a visiting research fellow at Exeter University Business School.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
1;Foreword;6
2;Preface;8
3;Contents;10
4;List of Tables;17
5;List of Figures;20
6;Introduction;22
6.1;Motivation and Relevance;22
6.2;Objective and Structure;26
7;Part I Delegated Portfolio Management;32
7.1;1 Institutional Setting;32
7.1.1;1.1 Role of Mutual Funds;34
7.1.2;1.2 Objectives of Investors;43
7.1.2.1;Professional Management;43
7.1.2.2;Diversification;45
7.1.2.3;Liquidity;46
7.1.2.4;Additional Services;46
7.1.3;1.3 Investment Strategies;47
7.1.3.1;1.3.1 Return Predictability and Equilibrium Considerations;47
7.1.3.2;1.3.2 Active versus Passive Investing;54
7.1.3.3;1.3.3 Specific Investment Strategies;60
7.1.3.4;1.3.3.1 Indexing and Enhanced Indexing;60
7.1.3.5;1.3.3.2 Fundamental Indexing;65
7.1.3.6;1.3.3.3 Active Long-Only Strategies;66
7.1.3.7;1.3.3.4 Active Long-Short Strategies;68
7.1.3.8;1.3.3.5 Activist Investors;69
7.1.4;1.4 Organizational Design;71
7.1.4.1;1.4.1 Open-End Funds;74
7.1.4.2;1.4.2 Exchange-Traded Funds;83
7.1.4.3;1.4.3 Retail Structured Products;85
7.1.4.4;1.4.4 Closed-End Funds;88
7.1.4.5;1.4.5 Hedge Funds;89
7.1.4.6;1.4.6 Comparison of Different Structures;91
7.1.5;1.5 Discussion;95
7.2;2 Agency Conflicts;97
7.2.1;2.1 Potential Conflicts of Interest;98
7.2.1.1;2.1.1 Investors and Portfolio Managers 2.1.1.1 Career Concerns and Tournaments Tournament Behavior;100
7.2.1.2;Strategic Interaction and Family Tournaments;103
7.2.1.3;Further Empirical Evidence and Statistical Issues;104
7.2.1.4;2.1.1.2 Herding;105
7.2.1.5;2.1.2 Investors and Investment Management Companies;107
7.2.1.6;2.1.2.1 Distribution Channels and Advertisement Brokers and Financial Advisors;107
7.2.1.7;Advertising Performance;109
7.2.1.8;Changing Names and Pretending Innovation;110
7.2.1.9;2.1.2.2 Fund Families and “Star” Managers Strategically Boosting Fund Performance;111
7.2.1.10;Side-by-Side Management;113
7.2.1.11;Strategically Starting, Merging and Closing Funds;113
7.2.1.12;2.1.2.3 Benchmark Gaming and Performance Manipulation Benchmark Gaming;116
7.2.1.13;Portfolio Pumping;118
7.2.1.14;Window Dressing;119
7.2.1.15;2.1.3 Costs and Potential Third-Party Benefits;120
7.2.1.16;2.1.3.1 Costs;121
7.2.1.17;2.1.3.2 Directed Brokerage and Soft Dollars;122
7.2.1.18;2.1.3.3 Market Timing and Late Trading Market Timing;124
7.2.1.19;Late Trading;125
7.2.1.20;2.1.4 Discussion;126
7.2.2;2.2 Potential Solutions for Reducing Agency Conflicts;127
7.2.2.1;2.2.1 Investment Strategy and Instruments;129
7.2.2.2;2.2.2 External Governance 2.2.2.1 Transparency and Competition;131
7.2.2.3;2.2.2.2 Market-Based Control;133
7.2.2.4;2.2.3 Internal Governance;137
7.2.2.5;2.2.3.1 Fund Board;138
7.2.2.6;2.2.3.2 Manager Changes;140
7.2.2.7;2.2.3.3 Optimal Fund Size;143
7.2.2.8;2.2.4 Incentive Contracts and Ownership Structures;144
7.2.2.9;2.2.4.1 Performance-Based Compensation;144
7.2.2.10;2.2.4.2 Ownership Structures;148
7.2.2.11;2.2.5 Discussion;152
7.3;Part II Investment Performance;154
7.4;3 Performance Measurement;154
7.4.1;3.1 Choice of the Correct Performance Measure;155
7.4.1.1;3.1.1 Asset Class and Investment Strategy;157
7.4.1.2;3.1.2 Existing Portfolio;158
7.4.1.3;3.1.3 Chronological Focus;159
7.4.1.4;3.1.4 Institutional Setting;159
7.4.2;3.2 Ratio-Based Performance Evaluation;160
7.4.2.1;3.2.1 Information Ratio and Sharpe Ratio;161
7.4.2.2;3.2.2 Treynor Ratio;162
7.4.2.3;3.2.3 Ratios for Non-Normally Distributed Returns;162
7.4.3;3.3 Risk-Based Performance Evaluation;165
7.4.3.1;3.3.1 Jensen Model;167
7.4.3.2;3.3.1.1 Benchmark Problem;169
7.4.3.3;3.3.1.2 Time Variability;171
7.4.3.4;3.3.1.3 Statistical Problems;174
7.4.3.5;3.3.2 Multifactor Models;176
7.4.3.6;3.3.2.1 Fama-French Model: Size and Value Effect;176
7.4.3.7;3.3.2.2 Carhart Model: Momentum Effect;178
7.4.3.8;3.3.2.3 Construction of Factor-Mimicking Portfolios;180
7.4.3.9;3.3.3 Timing Models and Conditional Performance Evaluation;184
7.4.4;3.4 Interpretation of Multifactor Models;187
7.4.4.1;3.4.1 Risk-Based Explanations 3.4.1.1 Time-Varying Asset Composition;188
7.4.4.2;3.4.1.2 Macroeconomic Risk, Business Cycle and Default Risk Macroeconomic Risk and the Business Cycle;191
7.4.4.3;Default Risk;192
7.4.4.4;3.4.1.3 Foreign Exchange Risk;193
7.4.4.5;3.4.1.4 Liquidity Risk;193
7.4.4.6;3.4.1.5 Higher Moments and Downside Risk Higher Moments;197
7.4.4.7;Downside Risk;198
7.4.4.8;3.4.1.6 Idiosyncratic Risk;199
7.4.4.9;3.4.2 Behavioral Explanations;201
7.4.4.10;Extrapolation;202
7.4.4.11;Underreaction;202
7.4.4.12;Overreaction;203
7.4.4.13;Overconfidence;203
7.4.4.14;Discussion;204
7.4.4.15;3.4.3 Microstructure Effects;204
7.4.4.16;Transaction Costs;204
7.4.4.17;Short Sale Constraints;206
7.4.4.18;Trading Volume;206
7.4.4.19;Analyst Coverage;207
7.4.4.20;3.4.4 Methodological Issues;207
7.4.4.21;Micro Caps;208
7.4.4.22;Migration;208
7.4.4.23;Delistings;209
7.4.4.24;Industry Effects;210
7.4.4.25;3.4.5 Statistical Issues;210
7.4.4.26;Data Snooping and Estimation Error;211
7.4.4.27;Time Variability;211
7.4.4.28;Spurious Regression;212
7.4.4.29;3.4.6 Discussion;212
7.4.5;3.5 Portfolio-Information-Based Performance Evaluation;213
7.4.5.1;3.5.1 Characteristic-Based Models;215
7.4.5.2;3.5.2 Holdings-Based Models;219
7.4.5.3;3.5.3 Trade-Based Models;221
7.4.6;3.6 Improved Statistical Methods;222
7.4.6.1;3.6.1 Bootstrapping;222
7.4.6.2;3.6.2 Bayesian Approach;223
7.4.6.3;3.6.3 Daily Data;228
7.4.6.4;3.6.4 Controlling for Cross-Correlation;228
7.4.7;3.7 Empirical Results on Active Mutual Funds;229
7.4.7.1;3.7.1 Fund Performance;229
7.4.7.2;3.7.2 Investor Performance;232
7.4.7.3;3.7.3 Implications for Active Mutual Fund Management;235
7.4.8;3.8 Cross-Sectional Performance Determinants;240
7.4.8.1;3.8.1 Managerial Skill and Information-Related Determinants 3.8.1.1 Investment Style Portfolio Turnover;241
7.4.8.2;Active Share;244
7.4.8.3;Portfolio Concentration;244
7.4.8.4;Style Consistency;246
7.4.8.5;3.8.1.2 Information Access Financial Centers and Regional Proximity;246
7.4.8.6;Political Proximity;248
7.4.8.7;Information Networks;248
7.4.8.8;3.8.1.3 Manager Characteristics Education;249
7.4.8.9;Experience;250
7.4.8.10;Gender;250
7.4.8.11;Management Structure;251
7.4.8.12;3.8.2 Cost-Related Determinants;251
7.4.8.13;Fees;252
7.4.8.14;Transaction Costs;253
7.4.8.15;Taxes;255
7.4.8.16;3.8.3 Fund-Related Determinants Fund Size and Fund Family Size;256
7.4.8.17;Fund Age;258
7.4.8.18;Regulatory Environment;259
7.4.9;3.9 Discussion;260
7.5;4 Dynamic Aspects of Mutual Fund Performance;262
7.5.1;4.1 Performance Persistence and Predictability;264
7.5.1.1;4.1.1 Performance Persistence;264
7.5.1.2;Fees;265
7.5.1.3;Stock Return Momentum;265
7.5.1.4;Competition;266
7.5.1.5;Other Predictable Patterns;267
7.5.1.6;4.1.2 Potential Data Biases Survivorship Bias;268
7.5.1.7;Look-Ahead Bias;269
7.5.1.8;Potential Treatment;270
7.5.1.9;4.1.3 Methodological Aspects Test Methodologies;270
7.5.1.10;Ranking Measures;270
7.5.1.11;Evaluation Measures;273
7.5.1.12;4.1.4 Potential Model Biases Investment Style;274
7.5.1.13;Omitted Factors;275
7.5.1.14;4.1.5 Discussion;276
7.5.2;4.2 Performance-Flow Relationship;277
7.5.2.1;4.2.1 Characteristics of Fund Flows;277
7.5.2.2;4.2.2 Performance-Flow Relationship;279
7.5.2.3;Family Effects;280
7.5.2.4;Evidence from Other Investment Products;281
7.5.2.5;4.2.3 Shape of the Performance-Flow Relationship;282
7.5.2.6;Behavioral Issues;283
7.5.2.7;Internal Governance and Strategy Changes;284
7.5.2.8;4.2.4 Impact of Costs and Brokers on Fund Flows Costs;284
7.5.2.9;Clientele Effects;286
7.5.2.10;Broker Advice;289
7.5.2.11;4.2.5 Speed of Reaction;291
7.5.2.12;4.2.6 Evidence from Gross Flows;292
7.5.2.13;Gross Inflows;292
7.5.2.14;Gross Outflows;293
7.5.2.15;Time Period;294
7.5.2.16;4.2.7 Discussion;295
7.5.3;4.3 Fund Flows as Equilibrium Mechanism;296
7.5.3.1;4.3.1 Cash Position Cash Drag;301
7.5.3.2;Unintentional Beta Variation;301
7.5.3.3;4.3.2 Transaction Costs and Distorted Security Selection Transaction Costs;302
7.5.3.4;Distorted Security Selection;304
7.5.3.5;4.3.3 Ownership Price Pressure;306
7.5.3.6;Position Liquidity;308
7.5.3.7;4.3.4 Market Capitalization;309
7.5.3.8;Investment Style;309
7.5.3.9;Asset Liquidity;310
7.5.3.10;Information Advantage;311
7.5.3.11;4.3.5 Portfolio Concentration;311
7.5.3.12;Best Ideas;312
7.5.3.13;Hierarchy Costs;313
7.5.3.14;Fund Family Response;314
7.5.3.15;4.3.6 Discussion;314
7.5.4;4.4 Manager Changes as Equilibrium Mechanisms;316
7.5.4.1;4.4.1 Winner Funds;317
7.5.4.2;4.4.2 Loser Funds;318
7.5.4.3;4.4.3 Empirical Results;319
7.5.4.4;4.4.4 Interaction with Fund Flows;320
7.5.5;4.5 Approaches to Reduce the Detrimental Impact of Flows on Performance;321
7.5.5.1;4.5.1 Redemption Restrictions Lock-up Periods, Redemption Notice Periods and Gates;322
7.5.5.2;4.5.2 Fee Structure Load Fees and Redemption Fees;325
7.5.5.3;Trailer Fees;327
7.5.5.4;Performance Fees and High-Water Marks;327
7.5.5.5;4.5.3 Creation Restrictions Soft Closing;328
7.5.5.6;4.5.4 Trading and Pricing Mechanisms Swing Pricing;329
7.5.5.7;Secondary Market;330
7.5.5.8;Exchange-Traded Funds;333
7.5.5.9;4.5.5 Investment Strategy Derivatives;335
7.5.5.10;Quantitative and Index Funds;338
7.5.5.11;Alternative Benchmark;338
7.5.5.12;4.5.6 Organizational Fund Structure Team-Managed Funds;339
7.5.5.13;Funds of Funds;339
7.5.5.14;Closed-End Funds;341
7.5.5.15;Pension Funds;342
7.5.6;4.6 Discussion;344
8;Part III Empirical Study;346
8.1;5 Objectives, Data and Methodology;346
8.1.1;5.1 Objectives;346
8.1.2;5.2 Data;351
8.1.3;5.3 Methodology;358
8.1.3.1;5.3.1 Ranked Portfolio Test 5.3.1.1 Formation;359
8.1.3.2;5.3.1.2 Evaluation;361
8.1.3.3;5.3.2 Regression Approach;364
8.2;6 Performance Persistence;366
8.2.1;6.1 Research Questions and Hypotheses;366
8.2.2;6.2 Performance and Characteristics of Decile Portfolios;368
8.2.2.1;6.2.1 Characteristics;368
8.2.2.2;6.2.2 Performance;373
8.2.2.3;6.2.3 Alternative Ranking Measures;381
8.2.3;6.3 Performance of Individual Decile Funds;388
8.2.3.1;6.3.1 Objective;388
8.2.3.2;6.3.2 Methodology;390
8.2.3.3;6.3.3 Bayesian Alphas;393
8.2.3.4;6.3.4 Alternative Estimation Methodologies;404
8.2.4;6.4 Alternative Formation and Evaluation Periods;410
8.2.4.1;Raw Returns;411
8.2.4.2;Risk-Adjusted Returns of Decile Portfolios;413
8.2.4.3;Risk-Adjusted Returns of Individual Decile Funds;416
8.2.4.4;Discussion;418
8.2.5;6.5 Migration;419
8.3;7 Fund Flows and Manager Changes as Equilibrium Mechanisms;428
8.3.1;7.1 Research Questions and Hypotheses;428
8.3.1.1;7.1.1 Winner Funds;429
8.3.1.2;7.1.2 Loser Funds;433
8.3.2;7.2 Methodology;435
8.3.2.1;7.2.1 Portfolio Formation;435
8.3.2.2;7.2.2 Specification of Multifactor Models;438
8.3.3;7.3 Winner Funds;441
8.3.3.1;7.3.1 Single sorting;441
8.3.3.2;7.3.2 Double sorting;453
8.3.4;7.4 Loser Funds;458
8.3.4.1;7.4.1 Single Sorting;458
8.3.4.2;7.4.2 Double Sorting;472
8.3.5;7.5 Winner-Minus-Loser Spread;478
8.3.6;7.6 Before-Fee Analysis;481
8.3.7;7.7 Regression Analysis;487
8.3.7.1;7.7.1 Model Specification;487
8.3.7.2;7.7.2 Results;489
8.3.8;7.8 Discussion;491
8.4;8 Time Effects, Extreme Flows and Capacity Constraints;495
8.4.1;8.1 Research Questions and Hypotheses;495
8.4.2;8.2 Alternative Formation and Evaluation Periods;499
8.4.2.1;8.2.1 Winner Funds;499
8.4.2.2;8.2.2 Loser Funds;503
8.4.3;8.3 Extreme Fund Flows and Fund Size;505
8.4.3.1;8.3.1 Portfolio Formation;505
8.4.3.2;8.3.2 Winner Funds;506
8.4.3.3;8.3.3 Loser Funds;512
8.4.4;8.4 Interaction of Fund Flows and Fund Size;516
8.4.4.1;8.4.1 Portfolio Formation;516
8.4.4.2;8.4.2 Winner Funds;517
8.4.4.3;8.4.3 Loser Funds;522
9;Conclusion and Outlook;526
9.1;Summary of the Results;526
9.2;Conclusions and Outlook;535
10;A Appendix;543
10.1;A.1 Factor-Mimicking Portfolios;543
10.2;A.2 Sample Selection;545
10.3;A.3 Alternative Estimation Methodologies;546
10.4;A.4 Alternative Formation and Evaluation Periods;547
10.4.1;A.4.1 Winner Funds;547
10.4.2;Absolute-Fund-Flows Sorting;547
10.4.3;Relative-Fund-Flows Sorting;549
10.4.4;A.4.2 Loser Funds;549
10.4.5;Absolute-Fund-Flows Sorting;549
10.4.6;Relative-Fund-Flows Sorting;551
10.5;A.5 Extreme Fund Flows and Fund Size;554
10.5.1;A.5.1 Winner Funds Absolute-Fund-Flows Sorting;554
10.5.2;Relative-Fund-Flows Sorting;556
10.5.3;Fund-Size Sorting;556
10.5.4;Factor Loadings;557
10.5.5;A.5.2 Loser Funds Absolute-Fund-Flows Sorting;559
10.5.6;Relative-Fund-Flows Sorting;561
10.5.7;Fund-Size Sorting;562
10.5.8;Factor Loadings;563
10.6;A.6 Interaction of Fund Flows and Fund Size;565
11;Bibliography;567
