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Information asymmetry literature has developed models that explain the relation between uninformed traders and informed traders. In general, these models have shown that first, information asymmetry is a driving force for investor buying and selling behavior. Second, the trades of informed investors reveal some of the information they possess suggesting that the trades of informed investors are informative to market makers. Third, when information about a stock enters the market, the characteristics of the firm can change, e.g., a better information environment reduces the cost of capital (Admati, 1985; Easley and O‟Hara, 2004; Wang, 1993). In this study, I apply information asymmetry theory to explore the trading behavior of active equity mutual fund managers and their role as facilitators of information. In the first essay, I study the information environment of firms mutual funds choose to add to their holdings and how it changes after the inclusion. I identify all new additions to the mutual fund holdings universe from 2002 to 2015 and compare them to the available universe of firms not yet owned by mutual funds. I find that active equity mutual fund managers behave as informed investors and prefer to buy stocks with more opaque information environments i.e., firms with larger spreads, lower trading volume, smaller firms with more growth opportunities, and firms that tend to use more accruals. Fund managers also show a preference for firms that have less analyst following, those in which analysts are less likely to agree on their EPS estimates, and firms in which analysts are more likely to err in their predictions. In other words, mutual fund managers prefer firms that are more likely to be mispriced. Once the funds include the firms, I document a strong improvement in their information environment. Firms attract more analyst coverage, reduce its use of accruals, produce more guidance, increase their market cap, and show increased turnover. The second essay focuses on the herding behavior of mutual funds. The study is the first to document the herding of mutual fund managers after creation of toehold positions by portfolio managers. I use a hand-collected dataset consisting of all toehold acquisitions reported to the SEC from 1995 to 2015 to document a strong herding reaction of active equity mutual funds after toehold announcements. This herding reaction is several times stronger than other mutual fund herding events reported by previous literature. I also document that the strength of the herding reaction varies depending on the identity of the filer or the characteristics of the firm acquired. The herding reaction is stronger for toehold announcements of firms with a smaller market capitalization, better growth opportunities, and those that are more illiquid. I also find that the herding reaction is weaker after the filings of hedge fund managers. My results support the informational herding cascade hypothesis. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2018. / FAU Electronic Theses and Dissertations Collection

This research evaluates whether the persistence of mutual fund performance is related to the momentum effect of stock returns. Empirical results reveal that, regardless of which time horizon we analyze, the positive performance of mutual funds tends to persist. The persistence of mutual fund performance, however, is not related to the momentum effect, which is measured by the momentum variable, either PR0.5YR or PR1YR. We conclude that the momentum effect of stock returns does not account for the persistence of mutual fund performance.

Interest for Mutual funds has been enormous in Sweden and since 1970 has savings increased from 300 million SEK to about 900 billion SEK. An important reason for this increasing is the strong development of the stock markets has got and, the impairment of the public pension and the increasing of necessity of the private saving.

The objective of this study is to evaluate the relationship between the corporate governance of investor trust companies in Taiwan and the performance of their mutual funds. Consider the feasibility of data collection, the data from the mother company of those investor trusts which are listed or publicly-held companies have been used instead in this study. There are 17 companies and 334 mutual funds in total. For the corporate governance indicators, the constituent of the corporate boards, the common stock holdings, and the level of information transparency are measured as the independent variable. For the performance of mutual funds, the return of mutual funds, the Jensen Performance Index, the excess return of Fama and French¡¦s Three Factor Model, the excess return of Carhart¡¦s Four Factor Model, and the excess return under those models¡¦ with timing factor are measured as the dependent variables. The market value of the companies and the timing of financial crisis are measured as the control variables. The statistics and the regression are applied to evaluate the relationship among them. The results are as follows: 1.After the financial crisis, the return of mutual funds has significantly decreased. 2.The scale of the corporate boards, and the sock-holding percentage of major shareholders have significantly lower down the performance of mutual funds. These results support Jensen (1993)¡¦s and Salman (1993)¡¥s researches because the more of the directors and the higher of the stock-holding percentage of major shareholders, the more difficult to have agreements for the company to follow. The reason why it is different from the concept that the sock-holding percentage of major shareholders has significantly increased the performance of the company could be the index this research measured is the performance of the company¡¦s products, mutual funds, not the performance of the companies. 3.The rate of outside independent directors, the stock-holding percentage of executive, the stock-holding percentage of corporate directors, and the rank of information transparency have significantly increased the performance of mutual funds.

Controlled source electromagnetic (CSEM) geophysics has been used with a fair amount of success in near surface hydrogeological studies. Recently, these investigations have been conducted frequently in human impacted field sites containing cultural conductors such as metal fences and buried pipes. Cultural noise adds an element of complexity to the geological interpretation of this type of data. This research investigates the influence of mutual induction between two buried targets in a CSEM experiment. In particular, it looks at the mutual coupling between a buried cultural conductor and a geological heterogeneity. We attempt to isolate the Hz field induced by tertiary currents in targets caused by mutual coupling. This is achieved with a Texas A&M 3D CSEM finite element code, which calculates the secondary Hz fields emanating from a target buried in a halfspace. Buried geological targets and cultural conductors are modeled as volumetric slabs embedded in a halfspace. A series of models have been simulated to study the effect of varying parameters such as target conductivity, transmitter location and shape of a target on the mutual inductance. In each case, the secondary Hz field is calculated for a model with two slabs, and two models with individual slabs. The mutual coupling is calculated by removing the secondary fields from the individual slab models from the response of a two slab model. The calculations of mutual inductance from a variety of such models suggests a complicated interaction of EM fields between the two targets. However, we can explain most of these complexities by adapting a simple approach to Maxwell’s equations. Although the tertiary Hz field is complicated, it may be useful in the characterization and delineation of electrical heterogeneities in the subsurface, which can then be related to geological features such as fractures or joints. It is seen that the most important factor affecting the mutual coupling is the host conductivity. The results have also shown that mutual coupling is very sensitive to transmitter (TX) location, especially when the TX is positioned near one of the targets.

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In Chapter 1, I investigate whether returns of strategies based on asset pricing anomalies exhibit time series persistence which can be attributed to flow-induced trading by mutual funds. I find persistence for thirteen characteristics, which is statistically significant for five including size, corporate investment, and bankruptcy likelihood. The persistence is not explained by individual stock momentum and is not limited to certain calendar months. The return predictability can be used to construct new trading strategies, which on average earn 4.5% annually. A price pressure measure of mutual fund flow-driven trading explains a substantial part of the strategy performance persistence. In Chapter 2, we propose a new approach for estimating expected returns on individual stocks from firm characteristics. We treat expected returns as latent variables and develop a procedure that filters them out using the characteristics as signals and imposing restrictions implied by a one factor asset pricing model. The estimates of expected returns obtained by applying our method to thirteen asset pricing anomalies generate a wide cross-sectional dispersion of realized returns. Our results provide evidence of strong commonality in the anomalies. The use of portfolios based on the filtered expectations as test assets increases the power of asset pricing tests. In Chapter 3, we examine the sensitivity of fourteen asset pricing anomalies to extreme observations using robust regression methods. We find that although all anomalies except size are strong and robust for stocks with presumably low returns, most of them are sensitive to individual influential observations for stocks with presumably high returns. For some anomalies, extreme observations distort regression results for all stocks and even portfolio returns. When the impact of such observations is mitigated, eight anomalies become positively related to expected returns for stocks with low characteristics meaning that these anomalies have an inverted J-shaped form. Chapter 4 concludes by summarizing the main contributions of three chapters and their implications. / text

Thesis (Ph.D.)--University of Texas at Dallas, 2008. / Includes vita. Includes bibliographical references (leaves 93-96)

Revised Thesis (Ph. D.)--University of Amsterdam, (2002). / Description based on print version record. Includes bibliographical references (p. 177-189) and index.