Zhao, Tianyue
(2020)
Two Essays on Mutual Funds.
Doctoral Dissertation, University of Pittsburgh.
(Unpublished)
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Unpublished |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: |
|
| ETD Committee: |
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| 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 2022 05:15 |
| URI: |
http://d-scholarship.pitt.edu/id/eprint/39244 |
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