Three essays on mutual funds.
详细信息
- 作者：Ding ; Ning (Bill).
- 学历：Doctor
- 年：2002
- 导师：Hughson, Eric
- 毕业院校：University of Colorado
- 专业：Economics, Finance.
- ISBN：0493947574
- CBH：3074735
- Country：USA
- 语种：English
- FileSize：7331862
- Pages：174
文摘
My dissertation consists of three essays on mutual funds. Essay One studies the mutual fund mergers that occur between 1962 and 1999. I hypothesize that mutual fund mergers play two roles in fund dynamics—eliminating inefficient funds of small size or with inferior growth opportunity, and supporting the growth of well-performing funds. I find that the acquired funds are small, underperform persistently, and experience net outflows. The logit regression results show that funds with these attributes are more likely to be taken over. The acquiring fund performance is above average in the pre-merger period, but deteriorates after a merger. In conclusion, mutual fund mergers provide an exit mechanism for inefficient funds.;Essay Two addresses the question as to whether managerial characteristics matter for fund performance. We assemble the most complete database of U.S. fund managers, stock holdings, fund net returns, and fund characteristics to date, which allows the creation of several new measures for managerial characteristics. Managerial experience matters for growth-oriented funds, but not for their income-oriented counterparts. Further, managerial stockpicking talents persist. Finally, managerial replacement improves fund performance.;In Essay Three, I examine how tax overhang embedded in a fund portfolio affects mutual fund investors' fund-purchase decision by explicitly considering the heterogeneity of fund investor tax status. Previous literature documents that investors tend to invest disproportionately in the top-performing funds. If taxable investors, who usually face few investment constraints, are those trend-chasers and are averse to tax overhang, there ought to exist a negative relationship between tax overhang and flows for top-performing funds, but not for other funds. The 1990s fund data confirm the above story. My results have implications for mutual fund tax management and the net asset value pricing rule.