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Dissertation
Two essays on mutual funds
Doctor of Philosophy (Ph.D.), Drexel University
Sep 2021
DOI:
https://doi.org/10.17918/00000867
Abstract
The first essay examines whether fund flows of mutual fund family employees are smart. Using hand-collected data on investment of fund family employees, I show that employee flows predict fund performance up to two years. Moreover, employee flows lead flows of other investors, but not vice versa, further indicating that employee flows are smart. The predictive power of employee flows is stronger when fund family employees are located close to fund managers, pointing to employees exploiting their proximity to managers to learn about the managers' skill or effort. The results do not appear to be driven by ownership changes of portfolio managers themselves, family cross-subsidization efforts, plan design, or employee sophistication. The second essay (with Daniel Dorn) examines psychological cost of team structure in mutual fund industry. We show that team-managed mutual funds have a greater propensity to sell winners and hold losers than solo funds. This propensity is costly as winners sold outperform losers held by 56bp during the next quarter relative to stocks with similar size, book-to-market, and momentum characteristics. Disposition effects are strongest when positions are initiated by a subset of the team who thus bears special responsibility. In contrast, there is no disposition effect when positions are initiated by all team members. This suggests that the difficulty of admitting mistakes to peers (vanity), rather than conformity to in-group pressures (groupthink), poses a costly challenge for teams.
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Details
- Title
- Two essays on mutual funds
- Creators
- Pramodkumar Yadav
- Contributors
- Daniel Dorn (Advisor)
- Awarding Institution
- Drexel University
- Degree Awarded
- Doctor of Philosophy (Ph.D.)
- Publisher
- Drexel University; Philadelphia, Pennsylvania
- Number of pages
- vi, 128 pages
- Resource Type
- Dissertation
- Language
- English
- Academic Unit
- Bennett S. LeBow College of Business; Finance; Drexel University
- Other Identifier
- 991015588462404721