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Essays on Index Funds and Actively Managed Funds.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Index Funds and Actively Managed Funds./
作者:	Xu, Nan.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
面頁冊數:	119 p.
附註:	Source: Dissertations Abstracts International, Volume: 83-02, Section: A.
Contained By:	Dissertations Abstracts International83-02A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28497932
ISBN:	9798522948306

Essays on Index Funds and Actively Managed Funds.
Xu, Nan.

Essays on Index Funds and Actively Managed Funds. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 119 p.

Source: Dissertations Abstracts International, Volume: 83-02, Section: A.

Thesis (Ph.D.)--University of California, Irvine, 2021.

This item must not be sold to any third party vendors.

Motivated by the increasing importance of passive investment, we first compare index funds with actively managed funds and study the trading performance of index funds. Then we explore the implication of mutual fund trading on stock price efficiency. Finally, we investigate the risk disclosure of mutual funds. We document the overlap and differences between actively managed funds and index funds and show that index funds could be active. Index fund trades lose money in general, specifically, stocks bought by index funds on average underperform stocks sold by index funds in subsequent periods. We also find that stocks traded by both actively managed funds and index funds experience efficiency improvement in the subsequent quarter, but in different ways. Stocks traded by actively managed funds exhibit more random walk patterns than those traded by index funds, while trades by index funds improve liquidity and the incorporation of market information. Finally, we show that most disclosed risks by mutual funds in their summary prospectus can be linked to meaningful and well-known academic risk factors. Our findings suggest that disclosed risks in general reflect a large proportion of funds' investment risks but with substantial cross-fund heterogeneity.

ISBN: 9798522948306Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Index funds,

Essays on Index Funds and Actively Managed Funds.
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500 $a Source: Dissertations Abstracts International, Volume: 83-02, Section: A.
500 $a Advisor: Zheng, Lu.
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506 $a This item must not be sold to any third party vendors.
520 $a Motivated by the increasing importance of passive investment, we first compare index funds with actively managed funds and study the trading performance of index funds. Then we explore the implication of mutual fund trading on stock price efficiency. Finally, we investigate the risk disclosure of mutual funds. We document the overlap and differences between actively managed funds and index funds and show that index funds could be active. Index fund trades lose money in general, specifically, stocks bought by index funds on average underperform stocks sold by index funds in subsequent periods. We also find that stocks traded by both actively managed funds and index funds experience efficiency improvement in the subsequent quarter, but in different ways. Stocks traded by actively managed funds exhibit more random walk patterns than those traded by index funds, while trades by index funds improve liquidity and the incorporation of market information. Finally, we show that most disclosed risks by mutual funds in their summary prospectus can be linked to meaningful and well-known academic risk factors. Our findings suggest that disclosed risks in general reflect a large proportion of funds' investment risks but with substantial cross-fund heterogeneity.
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