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published_or_final_version / Business Administration / Master / Master of Business Administration

The principal focus of this dissertation is to investigate the role of media coverage in the investment decisions of mutual fund investors and the consequent effects on flows into the funds. I examine investor attention and learning effects by examining the relation between media coverage of mutual funds and the net investor flows to the funds. Using a database of nearly 10,000 news articles, I find that the existence and stance of media coverage affects net investor flows into the fund in ways consistent with investor attention and learning. Further, the media coverage does not have a uniform effect on flows. News articles with positive (negative) tones are associated with significant increases (decreases) in flows. I find that fund size and past performance influence the impact of media coverage on mutual fund flows. I also find that, as a fund ages and investors receive additional news about the fund, there are smaller effects from the news. This is consistent with the hypothesis that investors learn about funds through media coverage and that this knowledge affects their investment behavior. These results suggest that media coverage can have significant economic effects on mutual funds through the effects on investors' attention and learning. / text

Thesis advisor: Robert G. Murphy / Research has shown that individuals can be persuaded of a message in two ways: using a central (rational) approach, or through a peripheral (more “irrational”) approach in which irrelevant signals are seen as convincing. In addition, it is suggested that recent negative experiences cause individuals to favor the central route, whereas individuals in positive moods rely more heavily on the peripheral route. I extend these findings to the realm of financial advertising by presenting a simple model predicting that mutual funds will use more economically rational arguments when stock market returns have been low, and will cater to irrational inclinations when returns have been high. These predictions are supported by two case studies of print advertisements in Money and the Journal of Financial Planning from the period January 2003 to March 2009. / Thesis (BA) — Boston College, 2009. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: College Honors Program. / Discipline: Economics Honors Program. / Discipline: Economics.

Thesis advisor: Pierluigi Balduzzi / Employing a novel data set of portfolio weights from 1997 to 2006, the performance of taxable bond mutual funds is studied. The timing ability of fund managers is examined considering different asset allocation choices such as asset class, credit quality allocation, and portfolio maturity decisions. I show that active managers engage in strategies of rotating their portfolios across fixed-income sectors and bond characteristics. Some bond funds exhibit successful timing ability by adopting these strategies. Comparing fund returns plus expenses and transaction costs with the returns of a portfolio that is invested in the previously disclosed holdings, I document that active managers exhibit some ability to select securities that deliver better returns than the securities in the indices. In particular, on average, active managers generate gross returns of 1% per annum over the benchmark portfolio constructed using past holdings. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Lam, Ka Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 51-55). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Levy Processes --- p.6 / Chapter 2.1 --- Definition --- p.6 / Chapter 2.2 --- Levy-Khinchine formula --- p.7 / Chapter 2.3 --- Applications of Levy Processes in Finance --- p.10 / Chapter 2.4 --- Option pricing under Levy Processes --- p.12 / Chapter 2.4.1 --- Black-Scholes Formula with Characteristic Function --- p.12 / Chapter 2.4.2 --- Fast Fourier Transform --- p.14 / Chapter 2.4.3 --- Other Payoff Functions --- p.16 / Chapter 3 --- Dynamic Fund Protection --- p.19 / Chapter 3.1 --- Discrete Dynamic Fund Protection --- p.20 / Chapter 3.2 --- Link DFP to Discrete Lookback Options --- p.22 / Chapter 4 --- Spitzer´ةs Identity --- p.25 / Chapter 4.1 --- Applications of Spitzer's Identity --- p.25 / Chapter 4.2 --- Discrete Lookback Options --- p.29 / Chapter 5 --- Pricing Discrete DFP --- p.32 / Chapter 5.1 --- Girsanov´ةs Theorem --- p.32 / Chapter 5.2 --- Equivalent Martingale Measure in DFP --- p.34 / Chapter 5.3 --- Pricing DFP at any Time Points --- p.36 / Chapter 5.4 --- The Main Algorithm --- p.38 / Chapter 6 --- Numerical Results --- p.40 / Chapter 6.1 --- Simulation of Discrete DFP --- p.40 / Chapter 6.2 --- Numerical Implementation --- p.42 / Chapter 7 --- Conclusion --- p.50 / Bibliography --- p.51

In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region. The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index. The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.

Mutual funds attracted great attention of both shareholders and academics in last few decades. Mutual funds provide benefits like diversification, professional managements and reduced costs for individual shareholders. Shareholders invest their assets into mutual funds managed by professionals. Managers may have an incentive to use those assets to satisfy their own interests. They can achieve this by charging excessive fees or spending more on the perquisites. These unmatched interests of shareholders and managers create so called principal-agent conflicts. Some researchers argue that market competition in mutual funds industry is strong enough to align interests of both shareholders and managers, thus mitigating principal-agent conflicts. Others believe there is need for internal governance to monitor managers‟ behaviors. Board of directors as an internal governance mechanism is responsible for aligning shareholders and managers interests.We collected data on board characteristics to find if they are related to funds attributes. Our sample of funds consists of 68 fund management companies with total of 603 mutual funds managed by those companies. Board characteristics include board size, age and gender of board members, and presence of CEO on the board. Fund attributes are total expense ratio, rate of return and management fees used as a measure of board effectiveness. We analyzed relationship of board characteristics and fund attributes separately on the company level and fund level.On the company level we found no relationship between board size and board age with expense ratio and rate of returns. We found significant positive relationship between board gender and presence of CEO with expense ratio. These results indicate that with the increase of male members on the board and the presence of CEO on the board there is an increase in total expense ratio. On the fund level analysis we found different relations with various types of funds. This may indicate that depending on the type of the fund the structure of the board that is effective changes.

<p>In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region.</p><p>The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index.</p><p>The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.</p>

Thesis (Ph. D.)--University of Oregon, 2003. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 83-87). Also available for download via the World Wide Web; free to University of Oregon users.