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Working Paper im Forschungsbereich Investmentfonds

16-10
Vikas Agarwal, Rahul Vashishtha, Mohan Venkatachalam
Mutual Fund Transparency and Corporate Myopia
Executive Summary | Download Papers (Vers. 09/2016)
16-09
Marc-André Goericke
Do Generalists Profit from the Fund Families’ Specialists? Evidence from Mutual Fund Families Offering Sector Funds
Executive Summary | Download Papers (Vers. 12/2016)
16-07
Stefan Jaspersen
Market Power in the Portfolio: Product Market Competition and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 09/2016)
16-03
Thorsten Martin, Florian Sonnenburg
Managerial Ownership Changes and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 08/2015)
15-16
David Blake, Alberto G. Rossi, Allan Timmermann, Ian Tonks, Russ Wermers
Network Centrality and Pension Fund Performance
Executive Summary | Download Papers (Vers. 11/2015)
forthcoming in: Journal of Financial Economics
15-12
Vikas Agarwal, George Aragon, Zhen Shi
Funding Liquidity Risk of Funds of Hedge Funds: Evidence from their Holdings
Executive Summary | Download Papers (Vers. 08/2015)
15-09
Vikas Agarwal, Haibei Zhao
Interfund lending in mutual fund families: Role of internal capital markets
Executive Summary | Download Papers (Vers. 04/2016)
15-07
Vikas Agarwal, Stefan Ruenzi, Florian Weigert
Tail risk in hedge funds: A unique view from portfolio holdings
Executive Summary | Download Papers (Vers. 05/2015)
forthcoming in: Journal of Financial Economics
15-06
Chunhua Lan, Fabio Moneta, Russ Wermers
Mutual Fund Investment Horizon and Performance
Executive Summary | Download Papers (Vers. 07/2015)
15-05
Laura Dahm, Christoph Sorhage
Milk or Wine:Mutual Funds’ (Dis)economies of Life
Executive Summary | Download Papers (Vers. 07/2015)
15-03
Vikas Agarwal, Y. Eser Arisoy, Narayan Y. Naik
Volatility of Aggregate Volatility and Hedge Funds Returns
Executive Summary | Download Papers (Vers. 06/2015)
forthcoming in: Journal of Financial Economics
15-02
Gjergji Cici, Stefan Jaspersen, Alexander Kempf
Speed of Information Diffusion within Fund Families
Executive Summary | Download Papers (Vers. 07/2015)
forthcoming in: Review of Asset Pricing Studies, Vol. 7, 2017, pp. 144-170.
14-14
Gjergji Cici, Laura Dahm, Alexander Kempf
Trading Efficiency of Fund Families:Impact on Fund Performance andInvestment Behavior
Executive Summary | Download Papers (Vers. 12/2015)
14-13
Vikas Agarwal, Yan Lu, Sugata Ray
Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds
Executive Summary | Download Papers (Vers. 11/2014)
published in: Management Science, Vol. 62, 2016, pp. 722-740.
14-11
Gjergji Cici, M. Gehde-Trapp, Marc-André Goericke, Alexander Kempf
What They Did in their Previous Lives:The Investment Value of Mutual Fund Managers’ Experience outside the Financial Sector
Executive Summary | Download Papers (Vers. 10/2014)
14-04
Christoph Sorhage
Outsourcing of Mutual Funds’ Non-coreCompetencies
Executive Summary | Download Papers (Vers. 08/2015)
13-07
Gjergji Cici, Scott Gibson, Yalin Gunduz, John J. Merrick, Jr.
Market Transparency and the Marking Precision of Bond Mutual Fund Managers
Executive Summary | Download Papers (Vers. 06/2014)
published in: Journal of Portfolio Management, Vol. 41, 2015, pp. 126-137.
13-04
Vikas Agarwal, Kevin Mullally, Yuehua Tang, Baozhong Yang
Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 05/2014)
published in: Journal of Finance, Vol. 70, 2015, pp. 2733–2776.
13-03
Vikas Agarwal, Vikram Nanda, Sugata Ray
Institutional Investment and Intermediation in the Hedge Fund Industry
Executive Summary | Download Papers (Vers. 06/2013)
12-11
Russ Wermers, Youchang Wu, Josef Zechner
Governance and Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds
Executive Summary | Download Papers (Vers. 11/2012)
published in: Review of Financial Studies, Vol. 29, 2016, pp. 3428-3470
12-07
Gjergji Cici, Claire Rosenfeld
A Study of Analyst-Run Mutual Funds: The Abilities and Roles of Buy-Side Analysts
Executive Summary | Download Papers (Vers. 11/2015)
published in: Journal of Empirical Finance, Vol. 36, 2016, pp. 8-29.
12-06
Alexander Kempf, Alexander Pütz, Florian Sonnenburg
The Impact of Duality on Managerial Decisions and Performance: Evidence from the Mutual Fund Industry
Executive Summary | Download Papers (Vers. 10/2013)
12-05
Lawrence Schmidt, Allan Timmermann, Russ Wermers
Runs on Money Market Mutual Funds
Executive Summary | Download Papers (Vers. 06/2014)
published in: American Economic Review, Vol. 106, 2016, pp. 2625-57.
12-04
Russ Wermers
A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios
Executive Summary | Download Papers (Vers. 03/2012)
11-16
Vikas Agarwal, Juan-Pedro Gómez, Richard Priestley
Management Compensation and Market Timing under Portfolio Constraints
Executive Summary | Download Papers (Vers. 02/2012)
published in: Journal of Economic Dynamics and Control, Vol. 36, 2012, pp. 1600-1625.
11-09
Vikas Agarwal, Sugata Ray
Determinants and Implications of Fee Changes in the Hedge Fund Industry
Executive Summary | Download Papers (Vers. 03/2011)
11-08
Gjergji Cici, Luis-Felipe Palacios
On the Use of Options by Mutual Funds: Do They Know What They Are Doing?
Executive Summary | Download Papers (Vers. 02/2013)
published in: Journal of Banking and Finance, Vol. 50, 2015, pp. 157-168.
11-07
Vikas Agarwal, Gerald D. Gay, Leng Ling
Window dressing in mutual funds
Executive Summary | Download Papers (Vers. 06/2014)
published in: Review of Financial Studies, Vol. 27, 2014, pp. 3133-3170.
11-05
Gjergji Cici
The Prevalence of the Disposition Effect in Mutual Funds´ Trades
Executive Summary | Download Papers (Vers. 04/2011)
published in: Journal of Financial and Quantitative Analysis, Vol. 47, 2012, pp. 795-820.
11-04
Stephan Jank
Mutual fund flows, expected returns, and the real economy
Executive Summary | Download Papers (Vers. 02/2011)
published in: Journal of Banking and Finance, Vol. 36, 2012, pp. 3060-3070.
11-02
Stephan Jank
Are There Disadvantaged Clienteles in Mutual Funds?
Executive Summary | Download Papers (Vers. 02/2011)
11-01
Vikas Agarwal, Costanza Meneghetti
The Role of Hedge Funds as Primary Lenders
Executive Summary | Download Papers
published in: Review of Derivatives Research, Vol. 14, 2011, pp. 241-261.
10-20
Gjergji Cici, Scott Gibson, John J. Merrick, Jr.
Missing the Marks? Dispersion in Corporate Bond Valuations Across Mutual Funds
Executive Summary | Download Papers (Vers. 12/2010)
published in: Journal of Financial Economics, Vol. 101, 2011, pp. 206-226.
10-18
Gjergji Cici, Scott Gibson
The Performance of Corporate-Bond Mutual Funds: Evidence Based on Security-Level Holdings
Executive Summary | Download Papers (Vers. 11/2010)
published in: Journal of Financial and Quantitative Analysis, Vol. 47, 2012, pp. 159-178.
10-16
Stephan Jank, Michael Wedow
Sturm und Drang in Money Market Funds: When Money Market Funds Cease to Be Narrow
Executive Summary | Download Papers (Vers. 09/2010)
published in: Journal of Financial Stability , Vol. 16, 2015, pp. 59-70.
10-15
Gjergji Cici, Alexander Kempf, Alexander Pütz
The Valuation of Hedge Funds’ Equity Positions
Executive Summary | Download Papers (Vers. 05/2013)
published in: Journal of Financial and Quantitative Analysis, Vol 51, 2016, pp. 1013-1037.
10-13
Stephan Jank, Michael Wedow
Purchase and Redemption Decisions of Mutual Fund Investors and the Role of Fund Families
Executive Summary | Download Papers (Vers. 07/2010)
published in: European Journal of Finance, Vol. 19, 2013, pp. 127-144.
10-09
Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
Executive Summary | Download Papers (Vers. 05/2011)
published in: Journal of Finance, Vol. 68, 2013, pp. 739-783.
10-08
Vikas Agarwal, Vyacheslav Fos, Wei Jiang
Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
Executive Summary | Download Papers (Vers. 07/2012)
published in: Management Science, Vol. 59, 2013, pp. 1271-1289.
10-07
Vikas Agarwal, Gurdip Bakshi, Joop Huij
Do Higher-Moment Equity Risks Explain Hedge Fund Returns?
Executive Summary | Download Papers (Vers. 08/2009)
10-05
Kerstin Drachter, Alexander Kempf
Vergütung von Managern deutscher Aktienfonds: Höhe, Struktur, Determinanten und Anreizwirkungen
Executive Summary | Download Paper (externer Link)
published in: Zeitschrift für Betriebswirtschaft - ZfB, Vol. 82, 2012, pp. 5-28.
10-04
Jieyan Fang, M. Gehde-Trapp, Alexander Kempf
Fund Manager Allocation
Executive Summary | Download Papers (Vers. 06/2012)
published in: Journal of Financial Economics, Vol. 111, 2014, pp. 661-674.
10-02
David Hunter, Eugene Kandel, Shmuel Kandel, Russ Wermers
Mutual Fund Performance Evaluation with Active Peer Benchmarks
Executive Summary | Download Papers (Vers. 08/2013)
published in: Journal of Financial Economics, Vol. 112, 2014, pp. 1-29.
09-03
Ayelen Banegas, Benjamin Gillen, Allan Timmermann, Russ Wermers
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets
Executive Summary | Download Papers (Vers. 06/2012)
published in: Journal of Financial Economics, Vol. 108, 2013, pp. 699-726.
07-13
Alexander Kempf, Peer Osthoff
SRI Funds: Nomen est Omen
Executive Summary | Download Papers (Vers. 08/2007)
published in: Journal of Business Finance and Accounting, Vol. 35, 2008, pp. 1276-1294.
07-11
Vikas Agarwal, Jayant R. Kale
On the Relative Performance of Multi-Strategy and Funds of Hedge Funds
Executive Summary | Download Papers (Vers. 06/2007)
published in: Journal of Investment Management, Vol. 5, 2007, pp. 41-63.
07-09
Vikas Agarwal, Naveen D. Daniel, Narayan Y. Naik
Do hedge funds manage their reported returns?
Executive Summary | Download Papers (Vers. 09/2009)
published in: Review of Financial Studies, Vol. 24, 2011, pp. 3281-3320.
07-04
Vikas Agarwal, Nicole M. Boyson, Narayan Y. Naik
Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds
Executive Summary | Download Papers (Vers. 05/2007)
published in: Journal of Financial and Quantitative Analysis, Vol. 44, 2009, pp. 273-305.
06-12
Russ Wermers, Youchang Wu, Josef Zechner
Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers
Executive Summary | Download Papers (Vers. 12/2005)
06-06
Jan P. Krahnen, Frank A. Schmid, Erik Theissen
Investment Performance and Market Share: A Study of the German Mutual Fund Industry
Executive Summary | Download Papers (Vers. 03/2006)
published in: Bessler, Wolfgang (Hrsg.): Börsen, Banken und Kapitalmärkte. Festschrift für Hartmut Schmidt zum 65. Geburtstag, Duncker & Humblot, Berlin, 2006, pp. 471-491.
06-05
Silke Ber, Stefan Ruenzi
On the Usability of Synthetic Measures of Mutual Fund Net-Flows
Executive Summary | Download Papers
06-02
Laurent Barras, Olivier Scaillet, Russ Wermers
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
Executive Summary | Download Papers (Vers. 04/2009)
published in: Journal of Finance, Vol. 65, 2010, pp. 179-216.
05-14
Robert Kosowski, Allan Timmermann, Russ Wermers, Hal White
Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis
Executive Summary | Download Papers (Vers. 05/2005)
published in: Journal of Finance, Vol. 61, 2006, pp. 2551-2596.
05-13
Doron Avramov, Russ Wermers
Investing in Mutual Funds when Returns are Predictable
Executive Summary | Download Papers (Vers. 04/2005)
published in: Journal of Financial Economics, Vol. 81, 2006, pp. 339-377.
05-10
Michaela Bär, Alexander Kempf, Stefan Ruenzi
Is a Team Different From the Sum of Its Parts? Evidence from Mutual Fund Managers
Executive Summary | Download Papers
published in: Review of Finance, Vol. 15, 2011, pp. 359-396.
04-09
Alexander Kempf, Klaus Kreuzberg
Portfolio Disclosure, Portfolio Selection and Mutual Fund Performance Evaluation
Executive Summary | Download Papers (Vers. 05/2004)
04-04
Vikas Agarwal, Naveen D. Daniel, Narayan Y. Naik
Role of managerial incentives and discretion in hedge fund performance
Executive Summary | Download Papers (Vers. 11/2009)
published in: Journal of Finance, Vol. 64, 2009, pp. 2221–2256.
04-03
Vikas Agarwal, William H. Fung, Yee Cheng Loon, Narayan Y. Naik
Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market
Executive Summary | Download Papers (Vers. 02/2009)
published in: Journal of Empirical Finance, Vol. 18, 2011, pp. 175-194.
04-02
Alexander Kempf, Stefan Ruenzi
Tournaments in Mutual Fund Families
Executive Summary | Download Papers (Vers. 10/2004)
published in: Review of Financial Studies, Vol. 21, 2008, pp. 1013-1036.

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