Mutual Fund Market Research Articles

The Limits of Media Effects: Field Positions and Cultural Change in a Mutual Fund Market

Our paper examines how field structures moderate the effect of the business press on organizational outcomes. Prior research suggests that the business press shapes organizational outcomes, but the question of how these effects depend on organizations' positions in a field has attracted limited attention. We address this theoretical limitation in an analysis of how mutual funds in Sweden were affected by periods when the business press increased its negative coverage of mutual fund fees. First, we expect that negative coverage influences the way customers evaluate mutual funds. Second, banks have long occupied a dominant position in this market, and we thus expect banks to be less affected by the negative coverage of fees than other mutual fund managers. We find support for our argument in a longitudinal quantitative analysis of financial net flows into mutual funds. The findings indicate the value of contextualizing media effects and considering how field positions moderate the effects of cultural processes.

Mutual Fund Risk and Market Share Adjusted Fund Flows

Mutual Fund Risk and Market Share Adjusted Fund Flows

Customer Perception on Mutual Fund Product: A Technical Analysis

In this context, prioritization, preference building and close monitoring ofmutual funds are essentials for fund managers to make this the strongest and mostpreferred instrument in Indian capital market for the coming years. With the decline inthe bank interest rates, frequent fluctuations in the secondary market and the inherentattitude of Indian small investors to avoid risk, it is important on the part of fundmanagers and mutual fund product designers to combine various elements of liquidity,return and security in making mutual fund products the best possible alternative for thesmall investors in Indian market. Researchers have attempted to study various need expectations of small investorsfrom different types of mutual funds available in Indian market and identify the riskreturn perception with the purchase of mutual funds(1). Various sophisticated multivariatetechniques are applied to identify important characteristics being considered by theIndian investors in the purchase decision, the paper also suggests a product design of anoptimum mutual fund and track the positioning gap available in Indian mutual fund market. SPSS version 17 is used for data analysis.

Evolution of a Mutual Fund Market: Empirical Analysis of Simultaneous Growth and Decline by Fund Category in Indonesia

Evolution of a Mutual Fund Market: Empirical Analysis of Simultaneous Growth and Decline by Fund Category in Indonesia

Public vs Private Ownership, Board Structure and Fund Manager Turnover

We examine the relation between organizational structure (public vs private) and managerial turnover in a large sample of U.S. offered mutual funds. Consistent with the hypothesis that publicly traded firms focus more on shorter term performance, we find that public sponsors are more sensitive to prior fund performance when making replacement decisions and experience smaller post turnover performance improvements. Additional testing suggests a higher likelihood of fund manager replacement when mutual funds are team managed and when fund boards more independent. Overall, our results indicate that organizational form plays a pivotal role in the managerial labor market for mutual funds.

The Relation between Price and Performance in the Mutual Fund Industry

ABSTRACTGruber (1996) drew attention to the puzzle that investors buy actively managed equity mutual funds, even though on average such funds underperform index funds. We uncover another puzzling fact about the market for equity mutual funds: Funds with worse before‐fee performance charge higher fees. This negative relation between fees and performance is robust and can be explained as the outcome of strategic fee‐setting by mutual funds in the presence of investors with different degrees of sensitivity to performance. We also find some evidence that better fund governance may bring fees more in line with performance.

ANALISIS KINERJA REKSADANA SAHAM

The issue of Indonesian mutual fund crisis in 2005 has not been resolved satisfactorily. Many investors may reluctant to invest in mutual fund market due to the lack of knowledge about the risk and return. Most mutual fund investors are quasi-investors who shift their assets class from less risky asset to risky assets. Hence, this study attempts to resolve the problem, especially in evaluating and analyzing mutual fund performance in Indonesia. The purposes of this study are a) to investigate whether mutual fund outperforms particular benchmarks (market return and risk free rate); b) to analyze both consistency and persistency of mutual fund performance. Sample of this study are 15 equity mutual funds, which provides data from January 2004 to December 2006. Jensen’s Alpha, Treynor and Sharpe indexes are used in this study to measure fund performance. Market adjusted models are used in measuring abnormal return. The t-test is used to test fund performance. This study employs coefficient concordance Kendall’s W to measure the consistency of fund performance. While, autoregressive distribution lag models are employed to analyze the persistency of fund performance. This study finds that fund performance outperforms the particular benchmarks significantly. This study also provides evidence, which supports the hypothesis that there are consistency and persistency of fund performances phenomena in Indonesia. The research results suggest investor’s redemption in mutual fund market in 2005 may not caused by worse fund performance or both inconsistence nor persistence in mutual fund performance, rather than it may caused by investor’s mental set and their lack of knowledge about risk and return.

Voting with their Feet and Dollars: The Role of Investors and the Influence of the Mutual Fund Market in Regulating Fees

This Note discusses the Seventh Circuit decision in Jones v. Harris Associates, a case which was granted certiorari by the Supreme Court. Oral argument was heard on November 2, 2009 and a decision in the case is expected in early 2010. The Note weighs the standard promoted by Jones for consideration of mutual fund management fees under Section 36(b) of the Investment Company Act of 1940 against the precedential Gartenberg standard of the Second Circuit, which has stood for over 25 years. The Jones standard provides a more accurate interpretation of Section 36(b) and appropriately reflects the state of the mutual fund industry today -- an industry in which competition exists between advisers. Finally, the Note suggests that the Jones standard may be further enhanced through equipping the average mutual fund investor to more actively participate in creating competition by providing the investor with disclosure in his or her account statements of the actual fees paid by the investor.

Does Active Management Add Value? The Brazilian Mutual Fund Market

Does active management add or destroy value? With a sample of 699 with four different main categories: stocks, fixed income, hedge and exchange rate mutual funds we conclude that the active management add value to investors in stocks and hedge funds. But in fixed income mutual funds the evidence is against the active management. We also analyze the determinants of significant alphas. For stocks and hedge funds the evidence suggests that old, big and active funds generate biggest alphas. In fixed income funds the evidence is not clear, only a positive relationship between size and alphas could be found.

Emerging trends in financial markets integration: the Indian experience

PurposeFinancial sector reform measures, which were initiated in 1991, have provided some degree of maturity and integration of different segments of India's financial markets. The purpose of this paper is to articulate the impact of financial sector reform measures on integration of various segments of financial markets in India.Design/methodology/approachThe paper surveys various methodologies for measurement of financial integration and uses the recently developed technique of co‐integration in a VAR framework to assess the extent of integration of various segments of India's financial markets.FindingsThe paper concludes that the financial market integration is inconclusive in India. Only a few segments of money market, Gilt market and foreign exchange market are integrated. Interest rate parity does not hold in India's case, which indicates poor evidence in support of international integration of domestic financial markets. Similarly, the analysis of the relationship between domestic saving and domestic investment does not support international integration. The study of co‐integration of Nasdaq and Bombay sensitive index (BSE), also revealed absence of international integration.Research limitations/implicationsOwing to non‐availability of time series data, the paper could not consider the mutual fund market, pension market and various derivatives markets in the overall process of assessment of financial integration. However, the impact on the findings is minimal, as these markets are not so far developed in India.Practical implicationsThe findings have significant practical implications particularly in the formulation of policies on management and interventions in the money market, foreign exchange and equity markets and in the overall formulation of monetary policy for the economy.Originality/valueThis paper presents a quite comprehensive research study on financial integration in India and is original, particularly in the area of application of the co‐integration technique for assessment of financial integration.

(Systemic Risk in Capital Market and Investor Protection)

Korean Abstract: 자본시장의 복합화, 세계화, 대형화가 진행되는 과정에서는 자본시장 불안정성, 변동성의 증폭과 전이가 대규모로 급속하게 진행될 가능성이 더욱 증가하게 되었다. 본 연구는 은행중심 시장에 비해 자본시장 중심 시장에서는 시장참여자들간 시장참여유인, 시장 규제의 정도, 시장에서의 위험 수용 행태 등에 따라 시스템리스크 발생 및 전이 경로 등이 다르게 나타날 뿐 아니라 그 대응방안 또한 달라질 수 밖에 없다는 이론적, 실증적 연구를 고찰하고 이에 따른 정책적 방안을 제시한다. 뮤추얼펀드의 자금흐름과 자본시장의 불안정성의 상호 관계를 살펴보기 위해 국내 펀드시장 현황을 간략하게 살펴보고, 금융시장 불안성에 있어서의 헤지펀드의 역할에 대해 논의해 본다. 금융기관의 부실이 다른 금융기관과 금융시스템에 미치는 파급효과를 사전적, 사후적으로 차단한다면 금융기관의 부실이 시스템리스크로 진행될 가능성은 대폭 축소될 것이다. 이를 위해 사전적으로 금융기관에 대한 감독과 모니터링을 통해 부실 발생 가능성을 감소시키고 부실 징후가 포착된 금융기관에 대한 조치를 신속히 취함으로써 부실 규모가 확대되는 것을 방지하는 정책적 수단에 대한 논의를 제시한다. English Abstract: Globalization of capital markets coupled with increased size and complexity of operations of financial institutions makes it more likely that instability and volatility starting in one market would be transmitted to other markets with increased magnitude. This paper studies the causes and contagion process of systemic risk that can occur in the capital market, and investigates how they are different from that start in the financial market dominated by the banking sector. Capital markets are distinguished from the banking sector in many respects including incentives and risk aversion of market participants, and regulation. We reviewed theoretical and empirical studies on the causes of systemic risk that can originate from capital markets, and propose policy measures that can possibly prevent the occurrence of systemic risk and minimize its effect once it starts. The Korean mutual fund market will be reviewed to explore the relationship between fund flows and capital market instability, and discuss the possible ole of hedge funds in causing the current financial crisis. Systemic risk can greatly reduced if the financial distress suffered by a financial institution is effectively prevented from transferring to other institutions. We discuss the policy measures that can improve the regulation and monitoring of financial institutions for early detection of insolvency and prompt corrective actions.

Fund Runn (An Empirical Investigation on Fund Run and Systemic Risk in Korean Mutual Fund Market)

Korean Abstract: 펀드런은 대량환매와 펀드자산가치의 하락이 서로 상승작용을 일으키는 새로운 금융위기의 일종으로, 위기 중에는 세 가지 징후가 관찰된다. 첫째 일정기간 펀드자금이탈이 지속되며, 둘째 자금이탈 규모는 확대되는 추세를 보이며, 마지막으로 투자자들이 평상시 이상으로 주가지수나 이자율과 같은 기초변수 변화에 과민반응을 보인다는 것이다. 이 같은 특징에 기초하여, 본 연구는 우리나라 펀드시장에서의 펀드런과 시스템리스크 발생가능성을 검정할 수 있는 실증분석방법을 유도하였다. 엄밀한 분석을 위해, 본 연구는 단위근 검정, 그랜저(Granger) 인과검정, 공적분 검정, VAR분석 등 다양한 계량분석모형을 적용하였으며, 분석결과는 대체로 우리나라 펀드시장에서 펀드런 발생가능성은 낮은 것으로 나타났다. 이는 과거 펀드시장에서 발생된 위기들에 대한 사례분석 결과와도 대체로 부합되는 것으로 분석의 정확성을 지지하는 것이라 할 수 있다. 한편, 시스템리스크 발생가능성을 분석하기 위해, 충격반응함수를 추정하여 펀드수탁고에서 발생한 충격이 타 금융부문의 위험성에 미치는 영향을 분석하였다. 분석결과, 펀드시장에서 발생한 충격이 타 금융부문으로 전염될 가능성을 대단히 낮은 것으로 평가되어 펀드런에 대한 실증분석 결과와 일치하는 것으로 나타났다. 따라서 과거 우리나라 펀드시장에는 여러번의 충격 또는 대량 환매사태가 발생하였음에도 불구하고 펀드런이나 시스템리스크와 같은 위기상황으로까지 연결될 가능성은 낮았다고 평가된다. English Abstract: Fund run denotes a new financial crisis that may happen when a large and sudden drop in stock or bond prices causes massive redemptions of mutual fund shares that would force portfolio managers to dump securities, thereby sending securities prices well below their fundamental values. Fund runs are characterized by three kinds of symptoms: The first is a sustained period of outflow of cash and the second is that the outflow accelerates over time. Finally, there happens a break in the long run equilibrium relationship between fund cash flow and the underlying variables such as stock or bond prices. On the bases of these aspects of crisis, this study derives econometric models by which one can rigorously analyze fund market crisis and systemic risks. The results of the unit root test, co-integration test, Granger causality test, and VAR analysis suggest a low possibility of fund run. This is consistent with the descriptive analysis about the crises which the Korean fund market has been experiencing during the past 10 years. We also examine whether shocks to fund cash flow may pose systemic risks to the financial market. The results are on the same line as those for fund run. Hence, it is concluded that there is a low possibility that the massive fund redemptions observed in the Korean mutual fund market might result in fund run or systemic risk.

Mutual Fund Fee-Setting, Market Structure and Markups

This paper develops a model to examine how mutual funds set fees charged to investors within a context of non-competitive market structure. The empirical evidence shows that the performance, age, size and cash ratio of the fund have statistically significant impacts on the mutual fund fees but quantitatively, the majority of the fee is explained by markups that funds add to the marginal cost due to the market power possessed by the funds. Front-end load funds have the highest markups, the back-end funds have the second highest markups and no-load funds have the lowest markup.

Costs associated with mutual funds in Spain

AbstractThis study examines the mutual fund market in Spain from the point of view of management and custodial costs. For this purpose it estimates functions explaining these fees using ordinary least squares and panel data. The results confirm that the most relevant factors in determining the management fee are the risk incurred by the managed portfolio, the level of its cash holding, and the number of shareholders in relation to the size of the fund. In addition, it highlights two aspects of the Spanish market with respect to the results obtained by similar studies in the North American market and in some European countries (Finland, Italy): first, the lack of a learning curve reducing operational costs, and, second, the lack of economies of scale in the management costs. Copyright © 2009 John Wiley & Sons, Ltd.

Demand for Financial Advice, Broker Incentives, and Mutual Fund Market Segmentation

Assuming that some investors value both financial advice and performance, but that the brokers needed to provide this advice are unwilling to recommend funds available at lower cost elsewhere, we predict that the market for mutual funds will be segmented. Segmentation forces fund families to target either performance-sensitive investors or investors who value financial advice. Families targeting performance-sensitive investors have the greatest incentive to invest in skilled portfolio management. Combining novel data on mutual fund distribution channels and on subadvisory fees paid for portfolio management, we find strong support for our assumptions regarding investor preferences and our predictions regarding channel segmentation and fund family behavior. Our findings shed new light on the expected relation between mutual fund fees and returns in a competitive market.

Does the size of a fund family matter when choosing an investment strategy? Evidence from spain

This paper aims to determine whether the size of a fund family influences investment strategy (stock picking or market timing) in the Spanish mutual fund market. This is a highly concentrated market, being controlled by two banks with a percentage of 46%. The impact of considering time-varying returns and risks on selectivity and market timing results is also assessed. Our results indicate that large management companies follow a market timing strategy, while small management companies are better at stock picking. These results are more obvious when conditional information is included. Additional tests are carried out to check the robustness of our results. We observe that the results obtained for large and small management companies are maintained when we control for fund size and when we introduce additional benchmarks into the timing model. However, when the time period is divided into two subperiods, the results are no longer robust. This may be connected to the evolution of returns in the Spanish market.

The development of mutual fund market in Russia

PurposeThe purpose of this paper is to describe development of Russian mutual fund (MF) market, to suggest and apply methodology of statistical analysis of management quality, to evaluate profitability and risks of the market. Design/methodology/approach – Statistical research applies: descriptive statistics, correlation analysis, regression analysis, cluster analysis, ratings, transition probability, optimal portfolio theory.FindingsRussian mutual market is growing both in number and in aggregate value of net assets. Profitability and risks of the market are high.Research limitations/implicationsStatistical research was fulfilled on the data for 2004‐2006.Practical implicationsThe results of the investigation are useful for investors and for managers of the funds.Originality/valueThe paper represents an attempt of statistical investigation of Russian MF market, its profitability and risks, classification and rating of MFs and analysis of rating stability.

How to Hide Mutual Fund Fees - Experimental Evidence

Price dispersion in the (index) mutual fund market is still a puzzle. In this field experiment all rational explanations for non-fee-minimizing behavior were ruled out with the design. In an online survey with more than 3,000 participants we demonstrate that as soon as specific additional, uninformative information is provided, even the relatively easy task of comparing three index mutual funds' fees seems to be too challenging. 60% of all participants choose the fund with the highest return following the inception date without the intention to minimize fees. Financial literacy and overconfidence are relevant determinants of participants' choices.

Profiting from the Post Earnings Announcement Drift: Mutual Fund Trades, Market Frictions, and Market Efficiency

Profiting from the Post Earnings Announcement Drift: Mutual Fund Trades, Market Frictions, and Market Efficiency

Mutual Fund Risk and Market Share Adjusted Fund Flows

Mutual Fund Risk and Market Share Adjusted Fund Flows