Use this URL to cite or link to this record in EThOS:
Title: Essays on Mutual Funds and Stock Lending.
Author: Sigurdsson, Kari
ISNI:       0000 0001 3409 4525
Awarding Body: London Business School (University of London)
Current Institution: London Business School (University of London)
Date of Award: 2007
Availability of Full Text:
Access from EThOS:
This dissertation contains three empirical studies in asset pricing. The first two studies are on mutual funds and the last one on stock lending, a practice that has become an essential part of asset management in the modem world ofmarket neutral funds. Chapter one investigates European mutual funds with asymmetric performance fees (APFs). I show that APF funds are more conservative in terms ofrisk taking and outperform comparable non-performance fee funds in bear markets while underperforming in bull markets. I also show that APF funds increase total risk if the APF contract is out of the ./'- ' money in the middle of an assessment period. However, this increase in risk-taking does not decrease performance during the latter part of the assessment period. Overall, the results do not indicate t~at APFs neither induce excessive risk taking nor align the interest of fund managers and investors to a greater extent than non-APF funds. Chapter two is about the relationship between money flows and past performance in US mutual funds. Several studies have documented a convex relationship between past performance and net money flows for individual mutual funds in the US. Thp. main finding in this chapter is that the sensitivity ofnet flows to past performance has become stronger for ,' funds in all performance quintiles during the nineties compared to the previous two decades. Furthermore, I find support for the idea that increased inflows during the nineties have strengthen the relationship for the better performing funds and decreased transaction costs have made investor more willing to leave the poorly performing funds. In Chapter three I investigate whether price efficiency is affected by short-sale constraints. Using a unique dataset from several custodians with world-wide stock level information on supply of shares available for short-selling and the borrowing fee, I show that short-sales constraints reduce price efficiency.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available