Economic costs of conglomerates : evidence using mutual funds.
This paper shed light on another determinant of mutual fund flow – the management company return. Using a sample period of 1992 to 2008, we randomly select five mutual fund families from the mutual fund universe to run our model. The five mutual fund families include Alliance Bernstein, Morgan Sta...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/21231 |
| _version_ | 1826111500152995840 |
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| author | Tan, Sophia Yan Qun. Lim, Jessica Sin Yi. Hong, Joan Yun Shan. |
| author2 | Tham Tze Minn |
| author_facet | Tham Tze Minn Tan, Sophia Yan Qun. Lim, Jessica Sin Yi. Hong, Joan Yun Shan. |
| author_sort | Tan, Sophia Yan Qun. |
| collection | NTU |
| description | This paper shed light on another determinant of mutual fund flow – the management company return. Using a sample period of 1992 to 2008, we randomly select five mutual fund families from the mutual fund universe to run our model. The five mutual fund families include Alliance Bernstein, Morgan Stanley, T. Rowe Price, Putnam and JP Morgan Chase and Co. (JP Morgan). We also identify two groups of investors – the uninformed individual investors and the sophisticated institutional investors. Our model predicts that family-level mutual fund flow has a significant, positive and linear correlation to management company return. Empirical tests support this prediction, and the results remain robust even after including management and year dummies. A case study is done to further substantiate the results. One company is randomly selected from the sample and we test the effect of highly negative news events on management company stock price and family-level mutual fund flow. The results show that after a highly negative news event, there is noticeable downward price drift in management company stock price followed by decrease in family-level mutual fund new money growth. This is in line with our empirical results. |
| first_indexed | 2024-10-01T02:51:44Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/21231 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:51:44Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | ntu-10356/212312023-05-19T06:24:03Z Economic costs of conglomerates : evidence using mutual funds. Tan, Sophia Yan Qun. Lim, Jessica Sin Yi. Hong, Joan Yun Shan. Tham Tze Minn Nanyang Business School DRNTU::Business::Finance::Funds This paper shed light on another determinant of mutual fund flow – the management company return. Using a sample period of 1992 to 2008, we randomly select five mutual fund families from the mutual fund universe to run our model. The five mutual fund families include Alliance Bernstein, Morgan Stanley, T. Rowe Price, Putnam and JP Morgan Chase and Co. (JP Morgan). We also identify two groups of investors – the uninformed individual investors and the sophisticated institutional investors. Our model predicts that family-level mutual fund flow has a significant, positive and linear correlation to management company return. Empirical tests support this prediction, and the results remain robust even after including management and year dummies. A case study is done to further substantiate the results. One company is randomly selected from the sample and we test the effect of highly negative news events on management company stock price and family-level mutual fund flow. The results show that after a highly negative news event, there is noticeable downward price drift in management company stock price followed by decrease in family-level mutual fund new money growth. This is in line with our empirical results. BUSINESS 2010-03-23T07:21:31Z 2010-03-23T07:21:31Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/21231 en Nanyang Technological University 61 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Funds Tan, Sophia Yan Qun. Lim, Jessica Sin Yi. Hong, Joan Yun Shan. Economic costs of conglomerates : evidence using mutual funds. |
| title | Economic costs of conglomerates : evidence using mutual funds. |
| title_full | Economic costs of conglomerates : evidence using mutual funds. |
| title_fullStr | Economic costs of conglomerates : evidence using mutual funds. |
| title_full_unstemmed | Economic costs of conglomerates : evidence using mutual funds. |
| title_short | Economic costs of conglomerates : evidence using mutual funds. |
| title_sort | economic costs of conglomerates evidence using mutual funds |
| topic | DRNTU::Business::Finance::Funds |
| url | http://hdl.handle.net/10356/21231 |
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