Mutual Funds’ Exits, Financial Crisis and Darwin

2019 ◽  
Author(s):  
Anna Zalewska ◽  
Yue Zhang
Keyword(s):  
Financial Crisis ◽  
Mutual Funds

Corporate Social Responsibility Exposure and Performance of Mutual Funds

2019 ◽  
Keyword(s):  
Corporate Social Responsibility ◽  
Financial Crisis ◽  
Social Responsibility ◽  
Mutual Funds ◽  
Stock Return ◽  
Fund Performance ◽  
A Value ◽  
Performance Patterns ◽  
And Performance ◽  
Corporate Social

The authors study the performance consequences of exposure to corporate social responsibility (CSR) through stock holdings for mutual funds. Using a large sample of US domestic mutual funds, they find that funds overweighting low-CSR stocks outperform funds underweighting them by 1.7% to 2.6% annually. This outperformance, however, reverses during the 2008-2009 financial crisis. They also find similar performance patterns among stocks. An equal-weighted high-minus-low CSR stock return spread can explain the CSR-based fund performance spread, whereas a value-weighted spread cannot. These results are consistent with the interpretation that low-CSR funds overweight low-CSR small-cap stocks that offer high returns to investors who are averse to low-CSR investments. Investors tend to avoid low-CSR stocks due to either social norms against these stocks or risk of underperformance of these investments when overall trust in corporations suffers a negative shock (such as during a financial crisis).

scholarly journals Mutual funds' exits, financial crisis and Darwin

2020 ◽  
Vol 65 ◽  
pp. 101738
Author(s):  
Anna (Ania) Zalewska ◽  
Yue Zhang
Keyword(s):  
Financial Crisis ◽  
Mutual Funds

Assessing foreign funds geographical focus timing skill

2016 ◽  
Vol 33 (2) ◽  
pp. 209-221
Author(s):  
Javier Rodríguez ◽  
Herminio Romero
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Hedge Funds ◽  
Design Methodology ◽  
Global Financial Crisis ◽  
Market Timing ◽  
Content Type ◽  
Fund Managers ◽  
The Usa ◽  
Timing Models

Purpose This paper aims to study the market timing skill of USA-based foreign open-end mutual funds in their geographical focus market. Design/methodology/approach The authors use daily fund data and two multi-factor extensions of the Treynor-Mazuy (1966) and Henriksson-Merton (1981) timing models to measure US-based foreign funds’ market timing skill during 1999 to 2010. In particular, the authors study fund managers’ skill to time their geographical focus market. Findings The authors report that, in general, foreign funds do not accurately time their geographical focus market. However, during January 2008 to December 2010, the sub period that includes the 2008 global financial crisis, most foreign funds in this sample not only focused on their domestic market, the USA, but also demonstrated statistically significant, good timing skill. Originality/value Although US-based foreign funds’ market-timing skill is not an unexplored topic, this study is the first to consider these funds’ skill to time their geographical focus market, a skill that has been studied in the context of hedge funds.

On the post-financial crisis performance of Islamic mutual funds: the case of Riyad funds

2018 ◽  
Vol 51 (18) ◽  
pp. 1929-1946 ◽  
Author(s):  
Abdelwahed Omri ◽  
Karim Soussou ◽  
Nadia Ben Sedrine Goucha
Keyword(s):  
Financial Crisis ◽  
Mutual Funds

scholarly journals A Comparative Study on Performance of Open and Close-ended Mutual Funds in Pakistan

2015 ◽  
Vol 1 (1) ◽  
pp. 300
Author(s):  
Waqas Ahmad ◽  
Muhammad Sohaib Roomi ◽  
Muhammad Ramzan ◽  
Muhammad Zia-ur-Rehman ◽  
Sajjad Ahmad Baig
Keyword(s):  
Financial Crisis ◽  
Comparative Study ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Portfolio Performance ◽  
Sample Period ◽  
Market Portfolio ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
Better Than

This paper is based on the comparison of Pakistani open-ended and close-ended mutual funds performance. That study focus on income, balance and equity schemes of open-ended and close-ended mutual funds. The performance of these funds evaluates using Sortino measure, Shrape measure, Treynor measure, Jenssen differtial measure and Inforamtion measure. The sample for the study consists of 73 funds from 2007 to 2012. Results show open-ended mutual funds performance is better than close-ended mutual funds. KSE (market portfolio) performance is grater over the all sample base mutual funds. Most risk adjusted funds returns are negative, which probably due to mutual fund industry set back by financial crisis during sample period.  

scholarly journals Relationship between mutual funds and hedge funds performance in different periods

2018 ◽  
Vol 4 (1) ◽  
pp. 1-14
Author(s):  
G. Lechner ◽  
B. Fauster
Keyword(s):  
Financial Crisis ◽  
Correlation Analysis ◽  
Mutual Funds ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Herding Behavior ◽  
Changing Environment ◽  
Price Informativeness ◽  
Developed Markets

The hedge fund literature has already shown that hedge funds and mutual funds follow a different strategy. One result of the literature was that mutual funds herd into or out of stocks following the herd of hedge funds one quarter later. The aim of this paper is to find out whether herding behavior of mutual funds have changed after the financial crisis. Our paper compares mutual funds and equity hedge funds in general (not only large hedge funds). The hypothesis is that mutual funds are not herding to equity hedge funds as strong as before the crisis. We use OLS regressions and correlation analysis to test the aforementioned hypothesis. We found that the monthly returns of hedge funds and mutual funds have synchronized in developed markets after the financial crisis. Therefore, the argument that mutual funds herd hedge funds is at least not as strong as before. The improving effectiveness and price informativeness could be an explanation for this changing environment.

Sign in / Sign up

Export Citation Format

Share Document