AFA2019会议论文（41）：Mutual Funds and Beyond

AFA2019会议论文（41）：Mutual Funds and Beyond

金融经济学 今天

1、Efficient Market Managers

Vladimir Atanasov, College of William

 Mary C. Pirinsky, University of Central Florida

 Qinghai Wang, University of Central Florida

Abstract

We examine the effect of academic exposure to the ideas of the Efficient Market Hypothesis (EMH) on the investment behavior of mutual fund managers. We show that managers who are more likely to be exposed to the EMH during their higher education exhibit a greater propensity to manage index funds. When working for active funds, exposed managers tend to hold portfolios with larger numbers of stocks and to deviate less from their investment objective benchmarks than their unexposed peers. Familiarity with the EMH induces active managers to take on more systematic risk. Although exposure to the academic ideas does not result in better performance, it helps managers generate capital flows, especially when their funds charge lower expense ratios and belong to larger multi-fund families.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=723

2、Capital Redeployment in the Equity Market

Huaizhi Chen, Harvard Business School

Abstract

Payouts, in the form of dividends and buybacks, reached a height of almost a trillion dollars per annum in recent years. A large proportion of these dollars have been directly reinvested into the stock market. Drawing on data on mutual fund holdings, I show that capital repayments are accompanied by predictable excess returns in stocks connected to these payments, consistent with demand-driven price pressure. Due to the persistence of these capital return programs, abnormal returns accumulate over significant holding periods. Additionally, the exposure to capital redeployment by non-payout firms is associated with firm-level equity issuances. While firms exposed to high levels of capital returns negligibly increase their own buyback and dividend activities, they are able to persistently issue stocks through seasoned offers relative to other firms.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=716

3、The Impact of Labor Mobility Restrictions on Managerial Actions: Evidence from the Mutual Fund Industry

Gjergji Cici, College of William

Mary M. Hendriock,  University of Cologne

Alexander Kempf,  University of Cologne

Abstract

This paper examines how labor mobility restrictions such as non-compete clauses in employment contracts affect the incentives and resulting behavior of affected employees. Using the investment industry as a testing laboratory, we find that mutual fund managers respond to heightened career concerns due to increased enforceability of non-compete clauses by increasing effort, reducing risk, and increasing window-dressing. These concerns are, however, mitigated in the presence of more developed internal labor markets, which allow managers to substitute restricted across-family mobility with within-family mobility. In addition, managers seem to prioritize their responses to heightened career risk by substituting one action for another.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=656

4、Unsuccessful Teams

Renee Adams, University of Oxford

Min Kim, University of Texas at Austin

Abstract

The consequences of failed teamwork may not be shared equally if more blame is allocated to team members for whom performance expectations are ex ante lowó a phenomenon called attributional rationalization. Using the mutual fund industry as our laboratory, we provide evidence that attributional rationalization has important labor market consequences. Following fund closures, female team managers are more likely to exit the fund family and the industry than male team managers. This result is not driven by a gender gap in skill. Attributional rationalization helps explain why the fraction of female fund managers declined by 3.8% between 1999 and 2015.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1844

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