Contemporarily, investing in mutual funds have been a general trend for ordinary investors, as people hold the wish to earn extra returns from market. Among various underlying assets, portfolios are favorable ascribed its risk separation based on combinations of multiple assets. In this paper, way effectively use limited initial capital investment securities order obtain maximum benefit will be...

Abstract I show that cash distributions through mergers, dividend payments, and stock buybacks are, in principle, similar to investor fund flows generating demand for investable assets. Abnormal returns on certain assets can be forecasted because delegated investors predictably reinvest toward holdings. Novel measures of stock-level constructed using proportional reinvestments by mutual funds p...

Should individuals include actively managed mutual funds in their investment portfolios? They should if and only if the result of active management is superior performance due to skill. This paper employs a previously ignored statistical technique to detect whether skill drives the superior performance of some mutual funds. This technique, the generalized binomial distribution, models a sequenc...

This paper investigates hedge fund performance and risk. The empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles such as mutual funds. The funds with watermarks significantly outperform the funds without watermarks. The average hedge fund returns are related positively to incentive fees, the size of the fund, and the lockup period. Hedge funds...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), would be more appropriate. Standard VaR assumes that returns are normally distributed, though th...

Abstract How can fragility be averted in open-end mutual funds? In recent years, markets have observed an innovation that changed the way funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on trading costs transacting shareholders. Using unique data investor-level transactions U.K. corporate bond funds, we show eliminates first-mover adva...

A number of research studies conclude that active US equity open-end mutual funds underperform on average and that overall manager skill is diminishing. This contrasts with other studies documenting systematic ways investors can identify managers who subsequently outperform. In this study, involving all active US equity mutual funds over the period February 1980 through February 2009 (resulting...

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...

This paper investigates the changes in firm value triggered by hypothetical corporate tax rate changes for which firms have balances on deferred tax allowances and deferred tax assets or liabilities. The effects on both investment to fixed assets and current assets are well taken care of with embedded production functions and firm investment decisions change over time through the accumulated pr...