Information Sharing Between Mutual Funds and Auditors

Information acquisition and mutual funds

We generalize the standard competitive rational expectations equilibrium (Hellwig (1980), Verrecchia (1982)) by studying the possibility that informed agents open mutual funds in order to sell their private information. We illustrate how mutual funds endogenously arise in equilibrium and we characterize the fund managers’ optimal investment management fees under imperfect competition. In our mo...

Mutual Funds in Equilibrium∗

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...

Mutual Funds by Edwin

Essays on Mutual Funds

Title of dissertation: ESSAYS ON MUTUAL FUNDS Nitin Kumar, Doctor of Philosophy, 2013 Dissertation directed by: Professor Russ Wermers Department of Finance Robert H. Smith School of Business This dissertation comprises of three essays on mutual funds. In the first essay, I test whether fund investors rationally incorporate portfolio manager ownership disclosure in their portfolio allocation de...

Information Content When Mutual Funds Deviate from Benchmarks

The consensus wisdom of active mutual fund managers, as reflected in their average overand underweighting decisions, contains valuable information about future stock returns. Analyzing a comprehensive sample of active U.S. equity funds 1984—2008, we find that stocks heavily overweighted by active funds outperform their underweighted counterparts by more than 7% per year, after adjustments for t...