This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to REIT crash risk. In addition, the trading of investment companies, including mutual funds, has become po...

An objective approach to distinguish the investment strategies followed by different mutual funds is proposed. Tracking error variance is used as a measure of how actively a fund is managed and several decompositions of tracking error variance are proposed to identify different investment strategies. Furthermore, recognizing that tracking error variance is subject to sampling error, we provide ...

We examine the form, adoption rates, and economic rationale for various mutual fund investment restrictions. A sample of U.S. domestic equity funds from 1994 to 2000 reveals systematic patterns in investment constraints, consistent with an optimal contracting equilibrium in the fund industry. Restrictions are more common when (i) boards contain a higher proportion of inside directors, (ii) the ...

This paper investigates the performance of copycat funds, which are free-riding on disclosed asset holdings of actively managed mutual funds. On average, copycat funds are able to marginally outperform their target mutual funds, but the relative success of copycat funds has increased after 2004, when SEC regulation imposed all mutual funds to quarterly disclose their holdings. We document a sub...

Abstract Mutual funds are becoming increasingly popular with the emergence of Internet finance. Clear profiling a fund's investment style is crucial for fund managers to evaluate their strategies, and investors understand investment. However, it challenging profile as requires comprehensive analysis complex multi‐dimensional temporal data. In addition, different have focuses when analysing styl...

using the treynor and mazoy model (expanded by fama to evaluate management performance for asset allocation among investment units), this paper examines the management’s performance in funds and investment companies in tehran stock exchange during 2004-2010. the results do not support the application of management market timing during the study period and managers were only able to create addit...

The term reputation appears in our everyday discussions about mutual funds. However, few studies have been done to explore how the mutual fund’s reputation forms and evolves. In this paper, we model fund’s reputation as the market’s belief whether the fund has the information to make profitable investment. We then propose an infinite-horizon model, in which the fund’s reputation can be invested...

Pension fund assets have been accumulated rapidly during past decades, and there are signs that such trend will continue. An immediate problem arising from the rapid accumulation of such a large volume of assets across countries is how to invest them. Pension funds differ from other institutional investors, e.g. mutual funds, in that their investment horizons are relatively long, typically 30-4...

Mutual fund plays a crucial role on bringing stability to the financial system and efficiency resource allocation. It provides novel way of mobilizing from small investors allowing them participate in equity other securities industrial organization with low risk. A mutual is ideal investment vehicle for today’s complex modern scenario, there has been growing importance funds India, when compare...