Clientele Effects in Mutual Funds 公开

Harris, Jaime Robert (2012)

Permanent URL: https://etd.library.emory.edu/concern/etds/9880vr04n?locale=zh
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Abstract


Abstract
Clientele Effects in Mutual Funds
Mutual funds are important investment vehicles for both households and institutions.
Prior research has established that these two groups of investors have different flow
characteristics. Investor flow characteristics impact mutual fund manager behavior. The
goal of this research is to understand how mutual fund managers respond to a change in
their fund's clientele and how this response affects investors that remain in the fund. I
find that the proportion of institutional investors has decreased relative to retail investors
over time. In response, fund managers have selected more liquid securities.

Table of Contents

TABLE OF CONTENTS
INTRODUCTION .............................................................................................................. 1
DATA ................................................................................................................................. 8
EMPIRICAL STRATEGY ............................................................................................... 12
EXTREME EVENT ANALYSIS ............................................................................................ 14
CONCLUSION ................................................................................................................. 17
REFERENCES ................................................................................................................. 24


TABLES AND FIGURES

FIGURE 1: MEAN RATIO OF INSTITUTIONAL TOTAL NET ASSETS TO RETAIL
TOTAL NET ASSETS ..................................................................................................... 18
TABLE 1: OBSERVATIONS .......................................................................................... 19
TABLE 2: MEDIAN HOLDINGS-BASED CHARACTERISTICS, BY YEAR ............ 20
TABLE 3: REGRESSIONS .............................................................................................. 21
TABLE 4: REGRESSION RESULTS.............................................................................. 22

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