PreprintPDF Available
Preprints and early-stage research may not have been peer reviewed yet.
Electronic copy available at: https://ssrn.com/abstract=3650373
70%
11%
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
50%
Electronic copy available at: https://ssrn.com/abstract=3650373
50.5%
68.4%
e
1,283
62.4% 13,112
70%
e e
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowT otal
i,t =(shrouti,t shrouti,t1)×N AVi,t
T N Ai,t1
shrouti,t i t NAVi,t
i t
T N Ai,t1i t 1
F lowP B ank
i,t =(sharesP Bank
i,t sharesP Bank
i,t1)×NAVi,t
T N Ai,t1
sharesP Bank
i,t sharesP Bank
i,t1i
t t 1
i
F lowOutsider
i,t =F lowT otal
i,t F lowP B ank
i,t
Electronic copy available at: https://ssrn.com/abstract=3650373
10%
6%
3.6% 6%
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowOutsider
i,t
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowOutsider
i,t <0
0.2%
0.6% 7%
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP B ank
i,f,t =α+β1·F low Outsider
i,f,t +β2·Distressi,f,t
+β3·F lowOutsider
i,f,t ×Distressi,f,t +θ·Xi,f ,t +γt+γf+i,f,t
F lowP B ank
i,f,t F low Outsider
i,f,t i
f t Distressi,f ,t
i
t
Xi,f,t
γfγt
F lowOutsider
i,t ×
Distressi,t
β3β1+β3<0
Electronic copy available at: https://ssrn.com/abstract=3650373
β1
1%
β1β3
1%
0.25%
Electronic copy available at: https://ssrn.com/abstract=3650373
1.4
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
25%
0.34% 0.20%
1%
0.27%
0.34% 1%
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowB ank
i,j,t =α+β1·F lowOutsider
i,t +β2·F lowOutsider
i,t ×Distressi,t
+β3·F lowOutsider
i,t ×Aff iliatedi,j,t
+β4·F lowOutsider
i,t ×Distressi,t ×Af filiatedi,j,t
+β5·Distressi,t +β6·Af filiatedi,j,t +θ·Xi,t +γj+γt+i,j,t
F lowB ank
i,j,t i j t F lowOutsider
i,t
Electronic copy available at: https://ssrn.com/abstract=3650373
i
Distressi,t
Aff iliatedi,j,t
i j
t β4
F lowOutsider
i,t ×Distressi,t ×Af filiatedi,j,t
j
Xi,t
1%
0.144%
Electronic copy available at: https://ssrn.com/abstract=3650373
25%
V Ai,t =T N Ai,t1×RExcess
i,t
RB
i,t V Ai,t i t RExcess
i,t
i t RB
i,t i t T N Ai,t1
RExcess
i,t RB
i,t
i
i t
Electronic copy available at: https://ssrn.com/abstract=3650373
1%
0.08% 0.06%
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
P erfi,t =α+β1·F low PB ank
i,t +β2·Distressi,t +β3·F l owP Bank
i,t ×Distressi,t +θ·Xi+γf+i,t
P erfi,t i
Electronic copy available at: https://ssrn.com/abstract=3650373
t F lowP B ank
i,t Xi
1%
28 26
40%
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowOutsider
i,t+n=α+β1·I{F lowP B ank
i,t >0}+β2·Distressi,t
+β3·I{F lowP B ank
i,t >0} × Distressi,t +θ·Xi,t +γt+γf+i,t
F lowOutsider
i,t+ni
t+n n ={1,2}I{F lowP B ank
t>0}
1i t
β2<0
β3>0> β2
β3
Electronic copy available at: https://ssrn.com/abstract=3650373
P erfi,t+n=α+β1·I{F low PB ank
i,t >0}+β2·Distressi,t
+β3·I{F lowP B ank
i,t >0} × Distressi,t +θ·Xi,t +γt+γf+i,t
P erfi,t+ni
t+n n ={1,...,4}
I{F lowP B ank
t>0}
1i
t
Electronic copy available at: https://ssrn.com/abstract=3650373
t+ 3 t+ 4
100%
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP B ank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowP B ank
t1
F lowOutsider
t1
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP Bank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
I{Z= 1}
F lowOutsider
tI{Z= 1}β4
I{Z= 1}
F lowOutsider
tI{Z= 1}β5
· · ·
· · · β1β3β4β5
· · · β1β3
· · · β1β3β4β5
· · · β1β3
· · · β1β3β4β5
· · · β1β3
· · · β1β3β4β5
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowBank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowOutsider
tβ4
F lowOutsider
tβ5
F lowBank
t1
F lowOutsider
t1
· · ·
· · · β1β3β4β5
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
25%
F lowP Bank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowOutsider
tI{Z= 1}β4
F lowOutsider
tI{Z= 1}β5
I{Z= 1}
I{Z= 1}
· · ·
· · · β1β3β4β5
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP rop
tF lowI nst
tF lowRet
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowOutsider
t1
F lowP rop
t1
F lowI nst
t1
F lowRet
t1
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP B ank
tβ1
β2
F lowP B ank
tβ3
Alphat1
Alphat2
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
t+1 t+ 2
I{F lowP Bank
t>0}
F lowOutsider
t+1 F lowOutsider
t+2 Cum F lowOutsider
t+1,t+2
F lowOutsider
t
I{F lowP B ank
t>0}β1
β2
I{F lowP B ank
t>0}β3
F lowOutsider
t+1
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
t+ 1 t+ 3 t+ 4 t+ 6
t+ 7 t+ 9 t+ 9 t+ 12
I{F lowP Bank
t
I{F lowP Bank
t>0}β1
β2
I{F lowP Bank
t>0}β3
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
Distress
F lowP B ank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowP B ank
t1
F lowOutsider
t1
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP B ank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowP B ank
t1
F lowOutsider
t1
· · ·
· · · β1β3
Electronic copy available at: https://ssrn.com/abstract=3650373
I{Z= 1}
F lowP B ank
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowOutsider
tI{Z= 1}
F lowOutsider
tI{Z= 1}β5
I{Z= 1}
I{Z= 1}
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowI nst
t
F lowOutsider
tβ1
β2
F lowOutsider
tβ3
F lowOutsider
tβ4
F lowOutsider
tβ5
F lowI nst
t1
F lowOutsider
t1
Electronic copy available at: https://ssrn.com/abstract=3650373
F lowP Bank
t
F lowP Bank
t1
F lowOutsider
t1
F lowOutsider
t
F lowOutsider
t1
F lowOutsider
t1
F lowOutsider
t1
Electronic copy available at: https://ssrn.com/abstract=3650373
Electronic copy available at: https://ssrn.com/abstract=3650373
ResearchGate has not been able to resolve any citations for this publication.
Article
Full-text available
This paper explores how affiliation to financial conglomerates affects asset managers’ access to capital, risk taking, and performance. Focusing on a sample of hedge funds, we find that financial conglomerate-affiliated hedge funds (FCAHFs) have lower flow-performance sensitivity than other hedge funds and that this difference is particularly pronounced during financial turmoil. Arguably, thanks to more stable funding, FCAHFs allow their investors to redeem capital more freely and are able to capture price rebounds. Because investors could value these characteristics, our findings provide a rationale for why financial conglomerate affiliation is widespread, although it slightly hampers performance on average.
Article
We develop three novel measures of the incentives of equity mutual funds to internalize the price impact of their trading. We show that mutual funds with stronger incentives to internalize their price impact accommodate inflows and outflows by adjusting their cash buffers instead of trading in portfolio securities. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the equity mutual fund industry.
Article
We study the performance of equity mutual funds run by asset management divisions of commercial banking groups using a worldwide sample. We show that bank‐affiliated funds underperform unaffiliated funds by 92 basis points per year. Consistent with conflicts of interest, the underperformance is more pronounced among those affiliated funds that overweight the stock of the bank's lending clients to a great extent. Divestitures of asset management divisions by banking groups support a causal interpretation of the results. Our findings suggest that affiliated fund managers support their lending divisions’ operations to reduce career concerns at the expense of fund investors. This article is protected by copyright. All rights reserved
Article
We study the conflict of interest that arises when a universal bank conducts proprietary trading alongside its retail banking services. Our data set contains the stock holdings of every German bank and those of their corresponding retail clients. We investigate (i) whether banks sell stocks from their proprietary portfolios to their retail customers, (ii) whether those stocks subsequently underperform, and (iii) whether retail customers of banks engaging in proprietary trading earn lower portfolio returns than their peers. We present affirmative evidence for all three questions and conclude that proprietary trading can, in fact, be detrimental to retail investors.
Article
This paper explores flow patterns in corporate bond mutual funds. We show that corporate bond funds exhibit a concave flow-to-performance relationship: their outflows are sensitive to bad performance more than their inflows are sensitive to good performance. Moreover, corporate bond funds tend to have greater sensitivity of outflows to bad performance when they have more illiquid assets and when the overall market illiquidity is high. These results point to the possibility of fragility in the fast-growing corporate bond market. The illiquidity of corporate bonds may generate a first-mover advantage among investors in corporate bond funds, amplifying their response to bad performance.
Article
Open-end mutual funds face investor redemptions, but the sale of the underlying assets depends on asset managers’ portfolio decisions. If asset managers use cash holdings as a buffer to meet redemptions, they can mitigate fire sales of the assets. If they hoard cash in response to redemptions, they will amplify fire sales. We present a global game model of investor runs and identify conditions under which asset managers hoard cash. In an empirical investigation of bond mutual funds, we find that cash hoarding is the rule rather than the exception, and that less liquid bond funds display stronger cash hoarding.