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Two Essays on Mutual Funds

Zhao, Tianyue (2020) Two Essays on Mutual Funds. Doctoral Dissertation, University of Pittsburgh. (Unpublished)

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Abstract

This dissertation consists of two essays on mutual funds. In the first essay, I hypothesize that mutual fund managers sell shares to induce price pressure in stocks owned by competitors in order to hurt competitors’ performance, thereby improving their own funds’ relative performance. I find that this predatory trading occurs primarily among top-ranked funds where the flow-performance relationship is highly convex and during the fourth quarter when incentives are the strongest. Predatory trading is not widespread, however, because managers anticipate and respond to the threat of predation. Specifically, smaller funds own fewer shares in illiquid stocks that are also held by larger competing funds ranked nearby. My paper is the first to provide evidence of strategic predatory trading by mutual funds and the resulting impact on the equilibrium allocation of assets within the mutual fund industry.
In the second essay, I use the setting of series trusts in mutual funds to examine the impact of board independence on mutual fund performance and further compare the board governance to the other primary governance mechanism, investors’ right to redeem shares on any trading day. A series trust is a turnkey setup service provided by a third party to fund advisers where there is a weaker connection between boards and fund advisers. I find that funds with more independent boards perform better and that board governance is a complement rather than a substitute to the redemption right.


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Details

Item Type: University of Pittsburgh ETD
Status: Unpublished
Creators/Authors:
CreatorsEmailPitt UsernameORCID
Zhao, Tianyuetiz26@pitt.edutiz260000-0001-7633-972X
ETD Committee:
TitleMemberEmail AddressPitt UsernameORCID
Committee CoChairSchlingemann, Frederik P.schlinge@katz.pitt.eduschlinge
Committee CoChairKoch, Andrewawkoch@pitt.eduawkoch
Committee MemberDenis, David J.djdenis@katz.pitt.edudjdenis
Committee MemberZutter, Chad J.czutter@pitt.educzutter
Committee MemberShukla, Ravirkshukla@syr.edu
Date: 9 July 2020
Date Type: Publication
Defense Date: 5 June 2020
Approval Date: 9 July 2020
Submission Date: 15 June 2020
Access Restriction: 2 year -- Restrict access to University of Pittsburgh for a period of 2 years.
Number of Pages: 144
Institution: University of Pittsburgh
Schools and Programs: Joseph M. Katz Graduate School of Business > Business Administration
Degree: PhD - Doctor of Philosophy
Thesis Type: Doctoral Dissertation
Refereed: Yes
Uncontrolled Keywords: Mutual Funds, Predatory Tradings, Governance
Date Deposited: 09 Jul 2020 23:06
Last Modified: 09 Jul 2020 23:06
URI: http://d-scholarship.pitt.edu/id/eprint/39244

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