The first essay analyzes mutual funds proxy voting records on shareholder proposals. The results indicate that mutual funds support shareholder proposals and vote against management for proposals that are likely to increase shareholders wealth and rights, in firms with weaker external monitoring mechanisms, in firms with entrenched management, and when funds have longer investment horizon. Mutual funds mostly take management sides on executive compensation related proposals, when they have higher ownership concentration, and when they belong to bigger fund families. The results further indicate that there is a positive reputational effect for the funds undertaking a monitoring role. Moreover, mutual funds reduce holdings when they disapprove of managements policy, but before doing so they take on an activist role by supporting shareholder proposals. The second essay investigates institutional investors trading behavior of acquiring firm stocks surrounding merger activities. We label investment companies and independent investment advisors as active institutions and banks, nonbank trusts and insurance companies as passive institutions. We find active institutions increase holdings of acquiring firm stocks for mergers with higher wealth implications. However, active institutions overreact to stock mergers at the announcement, which they appear to correct at the resolution quarter of the merger. The trading behavior of passive institutions suggests that these institutions disregard the market response of merger announcement in trading acquiring firm stocks at the announcement quarter. The passive institutions gradually update their beliefs and trade on the basis of merger wealth effect at the resolution quarter. The third essay examines relation between executive compensation structure with the existing level and changes of takeover defense mechanisms of firms. According to managerial entrenchment hypothesis, higher managerial power from adoption of takeover defense mechanisms would lead to generating higher rents for executives. Efficient contracting hypothesis argue that higher anti-takeover provisions would contribute in achieving efficient contracting by deferring compensation into the future due to the low possibility of hostile takeover. The results support managerial entrenchment hypothesis with regard to existing level of takeover defense mechanisms. With regard to changes in anti-takeover provisions, the existing level of managerial power influence the future pay structure.

Thesis (Ph.D.)--Mississippi State University. Department of Finance and Economics. / Title from title screen. Includes bibliographical references.

The aim of this study is to evaluate the difference in performance and management fees between ethical and conventional mutual funds registered in Sweden. Our dataset consists of 49 ethical and 254 conventional funds, estimated on a 10-year period of time between January 2005 to January 2015. Jensen’s alpha is used as a measure for risk-adjusted performance and estimated through CAPM single-index model as well as by Carhart’s four-factor model. By adding back the management fees to the net returns and then estimate Jensen’s alpha by Carhart’s four-factor model once again, evidence of any differences in the impact on return between ethical and conventional funds is found. The results obtained from the study show that there is no difference in neither the risk-adjusted returns nor management fees between ethical and conventional funds. It is concluded that Swedish mutual fund investors are not paying a specific price in terms of reduced returns or higher management fees for putting social and ethical values into their financial investment decision.

In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent predictors; even modestly persistent predictors have difficulties. Further, long-horizon regressions have inferior power relative to their single-period counterparts. These results present a predicament. If return predictability exists, then our ability to identify its source using predictive regressions alone is exceedingly poor. The second essay, written with James Stock and Mark Watson, considers the estimation of approximate dynamic factor models when there is temporal instability in the factors, factor loadings, and errors. We demonstrate that estimators for the factors and for the number of those factors are consistent for their population values even when affected by these instabilities. Further, we characterize the inferential theory in our framework for the estimated factors and for diffusion index forecasts and factor-augmented vector autoregressions that make use of the estimated factors. These results illustrate the broad robustness factor models have against temporal instability. In the third essay, co-author Peter Tufano and I consider the complex accounting rules, explicit fund sponsor supports, and government actions, that grant US money market mutual fund investors an implicit put option allowing them to redeem their shares at a fixed price of $1.00, regardless of the portfolio's market value. We describe the institutional features that generate these options, identify their writers, and estimate their premia. Using a hypothetical MMMF, we find that currently, non-redeeming shareholders, fund sponsors, and the government collectively bear annual premia of 22 to 44 basis points to give MMMF shareholders the right to redeem their shares at $1.00 rather than at the market value of the fund portfolio. These premia rose dramatically during the financial crisis, with the put value potentially being over 50 basis points.

Baigiamajame magistro darbe aptariama optimalaus investicijų portfelio sudarymas iš Lietuvoje platinamų investicinių fondų. Pirmoje darbo dalyje nagrinėjama investicinio fondo samprata ir veikimo principas, aptariama jų klasifikavimas bei privalumai, trūkumai ir galimos rizikos investavimu į investicinius fondus. Yra pateikiami pagrindinai investicinių fondų rodikliai bei apžvelgiama Lietuvos investicinių fondų rinka. Antroje darbo dalyje pateikiama informacija apie diversifikuoto investicijų portfelio kūrimą bei aptariama optimalaus investicijų portfelio formavimo principai. Taip pat yra apžvelgiami aktyvaus ir pasyvaus investicijų portfelio valdymo privalumai ir trūkumai. Trečioje darbo dalyje yra pateikiami praktiniai skaičiavimai, atliekamas trijų sudarytų portfelių palyginimas. Gauti rezultatai yra aptariami ir pateikiamos išvados bei pasiūlymai. Darbo apimtis – 63 p. teksto be priedų, 31 iliustr., 12 lent., 44 bibliografiniai šaltiniai. Atskirai pridedami darbo priedai. / The master thesis discusses the building an optimal investment portfolio from mutual funds distributed in Lithuania. The first part deals with the investment fund concept and principle of operation, discusses their classification, advantages, disadvantages and possible risks for investing in mutual funds. Presents the main indicators of investment funds and an overview of Lithuanian investment fund market. The second part contains information about the development of a diversified investment portfolio, and discusses the optimal portfolio-making. It also provides an overview of strengths and weaknesses of active and passive portfolio management. The third part discusses the practical calculations and the comparison of three portfolios is carried out. The results obtained are discussed and the conclusions and recommendations are given. Work size - 63 p. text without appendixes, 31 pictures, 12 tables, 44 bibliographic sources. Appendixes included.

During the last few decades, "regular people" have become increasingly involved with investing in the stock market. One way of doing this, which has become more and more popular, is to invest in mutual funds. The mutual fund industry has, due to its explosive growth, been described as a success story of the 20th century. These days, sources report that over 70% of the Swedish population actively invests in mutual funds. This thesis is an investigation into consumer decision making regarding one specific type of mutual fund: Socially Responsible Investment (SRI). SRI profiled mutual funds are different from "regular" mutual funds in that they incorporate social, ethical, and environmental (SEE) criteria. In this manner, SRI profiled mutual funds could be said to have two separate dimensions. The regular financial dimension has the purpose of generating a high level of financial return while managing risk. The socially responsible dimension, on the other hand, focuses on incorporating SEE issues into the investment process. However, consumers that desire to choose mutual funds that will both perform well financially and have a good socially responsible dimension face a more difficult decision than consumers who choose to invest in "regular" mutual funds. As each of the dimensions come with its own set of challenges which the consumer must overcome, choosing an appropriate combination of these is a difficult task. In this manner, consumers of SRI profiled mutual funds have to navigate through a complex decision making environment to arrive at a good choice. Based in this notion of decision making in complex environments, this thesis investigates how consumers combine their "traditional" financial objectives with their "additional" SEE consideration and examines the impact of personal factors related to these two areas on consumer investment in SRI profiled mutual funds. Four separate essays on these topics, each investigating a specific stage in the Engel-Kollat-Blackwell (1968) consumer decision making process, are presented. Moreover, in order to understand how complexity impacts consumer decision making in the area, the results of each study are analyzed against a conceptual framework focusing on the complexity of the market. The results show that consumers of SRI profiled mutual funds care about both financial and SEE issues. However, how consumers combine these in their decision making differs. Factors, such as the stage of the purchase decision making process, personal abilities, preferences, and perceptions are found to impact consumer decision making.  Against this background, this thesis generates an increased understanding of consumer decision making in complex decision making environments in general and of SRI profiled mutual funds in particular.

While much of the previous research on mutual funds has concentrated on finding the relationship between the investment style, the past performance and the future performance of funds, very few of the studies have paid attention to the effect of a mutual fund manager’s execution of investment style on fund returns. Using return-based analysis methodologies for measuring the style consistency of Chinese mutual funds, this thesis demonstrates that the less style-consistent funds tend to produce higher future risk-adjusted returns than more consistent mutual funds, even after controlling for past performance and net asset value (NAV). Further, these findings are robust across mutual fund investment style classifications, test period intervals (one-year or one-quarter interval), and the model used to calculate the expected returns (four-factor model and Sharpe’s style analysis model). This thesis also documents the performance-persistency effects that exist in Chinese mutual funds, which remain persistent even under the condition of style consistency. More importantly, the research discovered that at a time of change in the Chinese stock market, the negative correlation between style consistency and future performance becomes weaker. The study concludes that style consistency does matter for mutual funds’ future risk-adjusted returns and that there is a significant negative correlation with mutual funds’ future risk-adjusted performance in the longer term (i.e., over the entire test period). Moreover, this connection is distinct from those related to the past risk-adjusted performance and NAV of mutual funds. It is also clear that a significant negative correlation between style consistency and the future risk-adjusted return does exist in Chinese stock and asset allocation mutual funds, even after adjusting for the investment style of the fund. Finally, this thesis provide a mutual funds picking strategy for investors base on the main findings of this study, which can provide significant positive alpha at each year during the test period.

Submitted by Vítor Uchôa Nunes (vitor.nunes@btgpactual.com) on 2011-07-12T19:23:36Z No. of bitstreams: 1 Tese (homolog - final) - Estudo da Sensibilidade do Fluxo de Investimento em Fundos Multimercado.pdf: 274894 bytes, checksum: 644c7fc5c8fd9522e335233e9cdab021 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2011-07-12T19:25:22Z (GMT) No. of bitstreams: 1 Tese (homolog - final) - Estudo da Sensibilidade do Fluxo de Investimento em Fundos Multimercado.pdf: 274894 bytes, checksum: 644c7fc5c8fd9522e335233e9cdab021 (MD5) / Made available in DSpace on 2011-08-03T18:32:48Z (GMT). No. of bitstreams: 1 Tese (homolog - final) - Estudo da Sensibilidade do Fluxo de Investimento em Fundos Multimercado.pdf: 274894 bytes, checksum: 644c7fc5c8fd9522e335233e9cdab021 (MD5) Previous issue date: 2011-04-18 / Este trabalho estuda o impacto causado no fluxo de investimento em fundos multimercado por variáveis como o retorno dos fundos, o retorno do benchmark, a volatilidade de mercado, o fluxo de investimento de estrangeiros na Bolsa de Valores do Estado de São Paulo e o desempenho dos fundos ajustados pelo risco. / This paper studies the impact caused on the investment flow of mutual funds by variables such as the return of funds, the benchmark return, the market volatility, the foreigner investment flow on the São Paulo Stock Exchange and the risk-adjusted performance of the funds.

Mutual funds and pension funds are the most important investment products in Spain. Nonetheless, it should not be confused with each other, or take them as equivalent; since the latter have also the characteristic of a long-term savings product, in order to obtain additional funds for retirement. These differences may influence the investor when deciding on one of these instruments, but also the manager, developing different management strategies.Therefore, on this paper we examine the main magnitudes of both markets in Spain. Moreover, we analyze the performance of two Spanish fund samples (one with global equity mutual funds and another with global equity pension funds) with the purpose of showing if their performance is efficient, and if there are differences on their management. / Los fondos de inversión y los fondos de pensiones son los productos de inversión colectiva más importantes en España. Sin embargo, no deben confundirse entre sí ni tomarlos como equivalentes, ya que los segundos se caracterizan por ser un producto de ahorro a largo plazo cuya función es disponer de un capital adicional en el momento de la jubilación. Esta diferencia puede influir tanto en el inversor, al momento de decidirse por alguno de ellos, como en el gestor, que puede desarrollar diferentes estrategias de gestión. Por ello, en este trabajo se examinan las principales magnitudes de ambos mercados en España. Además, se analiza la eficiencia en la gestión de dos muestras de fondos españoles —una de fondos de inversión de renta variable global y otra de fondos de pensiones de renta variable—, con el objetivo de mostrar si sus gestiones son eficientes y si existen diferencias en ellas.

Este trabalho estuda o impacto do efeito manada do investidor institucional no preço futuro das ações no Brasil. Segundo a literatura internacional, ações compradas (vendidas) pela indústria de fundos de investimentos têm seus preços aumentados (diminuídos) no curto prazo, de 1 a 6 meses. Já no longo prazo, esse efeito se inverte, corroborando a hipótese desestabilizadora de preços do efeito manada dos fundos. Foram realizadas análises em painel com efeitos fixos dos dados mensais da carteira de todos os fundos de investimento brasileiros de 2009 a 2015 e os resultados corroboram parcialmente as expectativas, ações compradas pelos fundos, com persistência positiva, apresentam queda nos retornos futuros, e as ações vendidas pelos fundos, com persistência negativa, sofrem aumento de retornos futuros. Quando separada a variável persistência em persistência de compra e persistência de venda, os resultados são ainda mais surpreendentes, ocorre que as ações compradas pelos fundos apresentam um resultado futuro muito positivo, entretanto as ações vendidas pelos fundos apresentam um retorno futuro, tanto no curto quanto no longo prazo, superior ao das ações compradas. Fundos ativos e pequenos comprando e vendendo ações small caps apresentam um efeito ainda mais forte. / This paper studies the impact of institutional herding on stock prices in Brazil. According to international papers, stocks bought (sold) by the fund industry have their prices increased (decreased) in the short term, from 1 to 6 months. In the long term, this effect is reversed, corroborating the destabilizing hypothesis of the institutional herding on prices. Fixed effects panel analyses were performed with the monthly portfolio data of all stocks held by Brazilian investment funds from 2009 to 2015 and the results partially corroborate expectations, stocks purchased by the funds, with positive persistence, decline in future returns, and stocks sold by the funds, with negative persistence, suffer an increase of future returns. When we separate the persistence variable into persistence of purchase and persistence of sale, the results are even more surprising, it happens that the shares bought by the funds present a very positive result in the following months, however the shares sold by the funds present a future return, both in the short and in the long run, higher than the shares purchased. Small and active funds buying and selling small caps have an even stronger effect.