Arbeitspapier
Implied cost of capital and mutual fund performance
This study provides evidence for a positive association between mutual fund holdings'implied cost of capital (ICC) and future performance. Consistent with large transactioncosts of ICC-based investments impeding their exploitation and employing a ICC-basedstrategy reflecting skill, family-level trading efficiency and manager-level SAT scorepositively correlate with fund-level ICC. A negative association between ICC and mid-year risk shifting corroborates the notion of fund managers decisively choosing andrelying on high-ICC strategies. Institutional investors able to identify funds with highICC direct their investments accordingly, whereas flows of retail funds are unaffected,consistent with limited investor attention and financial literacy.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 20-11
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Accounting
- Thema
-
implied cost of capital
mutual funds
portfolio choice
financial forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hendriock, Mario
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hendriock, Mario
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2020
Ähnliche Objekte (12)
Mutual funds' cost persistence
An analysis of the mutual fund industry : mutual fund investors, mutual fund managers and mutual fund companies
An Analysis of the Mutual Fund Industry: Mutual Fund Investors, Mutual Fund Managers and Mutual Fund Companies
Essays on mutual funds, ESG and capital markets
Implied cost of capital and accounting conservatism : analytical and empirical evidence
Measuring ecpected stock returns : the implied cost of capital and its applications
Measuring expected stock returns - The implied cost of capital and its applications
Evaluating Methods to Estimate the Implied Cost of Equity Capital: A Simulation Study
Evaluating and Improving Methods to Estimate the Implied Cost of Capital and Return Decompositions
Evaluating and improving methods to estimate the implied cost of capital and return decompositions
Interfund lending in mutual fund families: Role of internal capital markets
Essays on Mutual Funds and Fund Managers
Mutual funds' cost persistence
An analysis of the mutual fund industry : mutual fund investors, mutual fund managers and mutual fund companies
An Analysis of the Mutual Fund Industry: Mutual Fund Investors, Mutual Fund Managers and Mutual Fund Companies
Essays on mutual funds, ESG and capital markets
Implied cost of capital and accounting conservatism : analytical and empirical evidence
Measuring ecpected stock returns : the implied cost of capital and its applications
Measuring expected stock returns - The implied cost of capital and its applications
Evaluating Methods to Estimate the Implied Cost of Equity Capital: A Simulation Study
Evaluating and Improving Methods to Estimate the Implied Cost of Capital and Return Decompositions
Evaluating and improving methods to estimate the implied cost of capital and return decompositions
Interfund lending in mutual fund families: Role of internal capital markets
Essays on Mutual Funds and Fund Managers
Mutual funds' cost persistence
An analysis of the mutual fund industry : mutual fund investors, mutual fund managers and mutual fund companies
An Analysis of the Mutual Fund Industry: Mutual Fund Investors, Mutual Fund Managers and Mutual Fund Companies
Essays on mutual funds, ESG and capital markets
Implied cost of capital and accounting conservatism : analytical and empirical evidence
Measuring ecpected stock returns : the implied cost of capital and its applications
Measuring expected stock returns - The implied cost of capital and its applications
Evaluating Methods to Estimate the Implied Cost of Equity Capital: A Simulation Study
Evaluating and Improving Methods to Estimate the Implied Cost of Capital and Return Decompositions
Evaluating and improving methods to estimate the implied cost of capital and return decompositions
Interfund lending in mutual fund families: Role of internal capital markets