English Kontakt Sitemap Impressum & Datenschutz
Working Paper Suche

Working Paper im Forschungsbereich Investmentfonds

22-06
Justin Balthrop, Gjergji Cici
Conflicting Incentives in the Management of 529 Plans
Executive Summary | Download Papers (Vers. 03/2022)
22-04
Manuel Ammann, Alexander Cochardt, Simon Straumann, Florian Weigert
Back to the Roots: Ancestral Origin and Mutual Fund Manager Portfolio Choice
Executive Summary | Download Papers (Vers. 02/2022)
22-02
Simon Lesmeister, Peter Limbach, P. Raghavendra Rau, Florian Sonnenburg
Indexing and the Performance-Flow Relation of Actively Managed Mutual Funds
Executive Summary | Download Papers (Vers. 01/2022)
21-11
Vikas Agarwal, Honglin Ren, Ke Shen, Haibei Zhao
Redemption in Kind and Mutual Fund Liquidity Management
Executive Summary | Download Papers (Vers. 12/2020)
21-09
Vikas Agarwal, Brad Barber, Si Cheng, Allaudeen Hameed, Ayako Yasuda
Private Company Valuations by Mutual Funds
Executive Summary | Download Papers (Vers. 02/2021)
forthcoming in: Review of Finance
21-05
Gjergji Cici, Pei (Alex) Zhang
On the Valuation Skills of Corporate Bond Mutual Funds
Executive Summary | Download Papers (Vers. 03/2021)
21-01
Turan G. Bali, Florian Weigert
Hedge Funds and the Positive Idiosyncratic Volatility Effect
Executive Summary | Download Papers (Vers. 12/2020)
20-14
Vikas Agarwal, Yan Lu, Sugata Ray
Are hedge funds’ charitable donations strategic?
Executive Summary | Download Papers (Vers. 12/2020)
published in: Journal of Corporate Finance, Vol. 66, 2021, 101842, pp. 1-64.
20-11
Mario Hendriock
Implied Cost of Capital and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 11/2020)
20-08
Vikas Agarwal, Lei Jiang, Quan Wen
Why Do Mutual Funds Hold Lottery Stocks?
Executive Summary | Download Papers (Vers. 10/2020)
forthcoming in: Journal of Financial and Quantitative Analysis
20-07
Vikas Agarwal, Stefan Ruenzi, Florian Weigert
Unobserved Performance of Hedge Funds
Executive Summary | Download Papers (Vers. 04/2020)
20-06
Manuel Ammann, Sebastian Fischer, Florian Weigert
Factor Exposure Variation and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 08/2020)
published in: Financial Analysts Journal, Vol. 76, 2020, pp. 101-118.
19-05
Gjergji Cici, Mario Hendriock, Alexander Kempf
Finding your calling: Skill matching in the mutual fund industry
Executive Summary | Download Papers (Vers. 03/2020)
19-03
Gjergji Cici, Mario Hendriock, Stefan Jaspersen, Alexander Kempf
#MeToo Meets the Mutual Fund Industry: Productivity Effects of Sexual Harassment
Executive Summary | Download Papers (Vers. 08/2019)
published in: Finance Research Letters , Vol. 40, 2021, 101687, pp. 1-24.
18-04
Gjergji Cici, Alexander Kempf, Claudia Peitzmeier
Knowledge Spillovers in the Mutual Fund Industry through Labor Mobility
Executive Summary | Download Papers (Vers. 01/2019)
published in: Journal of Banking and Finance, Vol. 134, 2022, 106310, pp. 1-13.
16-10
Vikas Agarwal, Rahul Vashishtha, Mohan Venkatachalam
Mutual Fund Transparency and Corporate Myopia
Executive Summary | Download Papers (Vers. 08/2017)
published in: Review of Financial Studies, Vol. 31, 2018, pp. 1966–2003.
16-09
Marc-André Göricke
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
Mutual Fund Bets on Market Power
Executive Summary | Download Papers (Vers. 02/2021)
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)
published in: Journal of Financial Economics, Vol. 128, 2018, pp. 183-206.
15-12
Vikas Agarwal, George Aragon, Zhen Shi
Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds
Executive Summary | Download Papers (Vers. 08/2015)
published in: Journal of Financial and Quantitative Analysis, Vol. 54, 2019, pp. 2355-2381.
15-09
Vikas Agarwal, Haibei Zhao
Interfund lending in mutual fund families: Role in liquidity management
Executive Summary | Download Papers (Vers. 11/2018)
published in: Review of Financial Studies, Vol. 32, 2019, pp. 4079–4115.
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)
published in: Journal of Financial Economics, Vol. 125, 2017, pp. 610-636.
15-06
Chunhua Lan, Fabio Moneta, Russ Wermers
Holding Horizon: A New Measure of Active Investment Management
Executive Summary | Download Papers (Vers. 11/2018)
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)
published in: Journal of Financial Economics, Vol. 125, 2017, pp. 491-510.
15-02
Gjergji Cici, Stefan Jaspersen, Alexander Kempf
Speed of Information Diffusion within Fund Families
Executive Summary | Download Papers (Vers. 07/2015)
published 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 and Investment Behavior
Executive Summary | Download Papers (Vers. 09/2017)
published in: Journal of Banking and Finance, Vol. 88, 2018, pp. 1-14.
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 Göricke, Alexander Kempf
The Investment Value of Mutual Fund Managers’ Experience outside the Financial Sector
Executive Summary | Download Papers (Vers. 10/2014)
published in: Review of Financial Studies, Vol. 31, 2018, pp. 3821-3853.
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.

CFR Fördermitglieder      

Förderer CFR Juniorprofessur Sustainable Finance

Besonders bedanken wir uns bei den Förderern, die mit ihren Spenden die Einrichtung der Juniorprofessur für Sustainable Finance an der Universität zu Köln ermöglicht haben:

www.cfr-cologne.de | © 2004-2022 | webmaster