Download or read book Funds Flows and Time written by Pere Mir-Artigues and published by Springer Science & Business Media. This book was released on 2007-06-13 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book sheds new light on long-established concepts of microeconomic production theory and combines general theoretical analysis with references to management tools. It deals with concepts of microeconomic production theory, using the fund-flow model of Nicholas Georgescu-Roegen as a basic reference. This long-neglected model allows for a representation of productive operations that can easily be accommodated to empirical application.

Download or read book Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.

Download or read book Mutual Fund Flows and Investor Returns written by Geoffrey C. Friesen and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the timing ability of mutual fund investors using cash flow data at the individual fund level. Over 1991-2004 equity fund investor timing decisions reduce fund investor average returns by 1.56% annually. Underperformance due to poor timing is greater in load funds and funds with relatively large risk-adjusted returns. In particular, the magnitude of investor underperformance due to poor timing largely offsets the risk-adjusted alpha gains offered by good-performing funds. Investors in both actively managed funds and index funds exhibit poor investment timing. We demonstrate that our empirical results are consistent with investor return-chasing behavior.

Download or read book A Monthly Effect in Stock Returns written by Robert A. Ariel and published by Palala Press. This book was released on 2018-03-03 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book The Time Value of Money written by Jeffrey Pattavina and published by Lulu.com. This book was released on 2018-06-15 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Time-Value of Money is a concise tutorial on valuing cash flows over time. It provides a clear description of how to recast the monetary value of one or more future cash flows into an equivalent present value. Converting future cash flow streams into to a present value allows future cash flows to be treated within the same time-frame and thereby provides the means necessary to evaluate an asset fairly. The book covers concepts such as weighted cost of capital, present and future value, interest rates, mortgages, annuities, growth models, discounting, internal rate of return and net present value assessments.

Download or read book A Cash Flow Focus for Endowments and Trusts written by James P. Garland and published by CFA Institute Research Foundation. This book was released on 2019-08-07 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of perpetual endowment funds and long-lived trust funds is to generate spendable cash. Ideally, these cash disbursements would be stable from one year to the next and would grow to keep pace with inflation. Too-high disbursements today would lead to too-low disbursements tomorrow, and vice versa. Setting a proper spending rate is difficult. Trustees often set percentage spending rates based on the real returns they expect to earn from their investments and then link those spending rates to their funds’ market values. But linking spending to market values causes problems. One problem is that market values of common asset classes, such as stocks and bonds, are volatile. Trustees fight this volatility by averaging market values over time, but averaging does not work very well. Another problem is that trustees who base spending on market values often understandably come to believe that market values themselves determine spending. In other words, if market values increase (or fall) by a significant amount, then trustees feel justified in increasing (or cutting) spending by similar amounts. This belief is misguided. For equities, the predominant asset class in most endowment and trust funds, the source of returns is not market values but, rather, corporate profits. This brief argues that, counter to common practice, trustees should turn their backs on market values and instead focus on the real cash flows that their assets can generate. For bonds, this would mean their real interest rate. For equities, this would mean their underlying profits. This focus on asset cash flows, rather than on asset market values, is a better way to go. This brief offers two spending rules based on cash flows. One looks at corporate dividends, and the other at corporate profits. Trustees who base spending on market values usually include bonds in their funds to dampen market value swings. A 30% bond allocation is not uncommon. Yet the cash-flow spending rules described here lead to less volatile spending, even when applied to a 100% equity portfolio, than that of a 30% bond/70% equity portfolio whose spending is based on market values. In addition, spending rules based on cash flows free trustees from fretting about market values. Diversification can still be beneficial, but no longer do trustees need to diversify primarily to dampen market downturns. When equity market values decline, as they invariably will from time to time, trustees may be able to say, “We don’t care.” Furthermore, spending rules based on cash flows enable trustees to keep score. Trustees of perpetual endowment funds and of long-lived personal trust funds often feel obligated to be intergenerationally equitable—that is, to treat current and future beneficiaries the same. The near-universal way to evaluate intergenerational equity is to look at market values. Instead, a spending rule based on cash flows works better. Finally, basing spending on cash flows, rather than on market values, encourages trustees to focus on something that is very important but often overlooked: the long-term health of the economies in which their funds are invested. No spending rule is perfect. But many trustees who now base spending on market values would benefit by focusing on asset cash flows instead.

Download or read book A comparison of the determinants of fund flows for conventional and sustainable funds written by Lennart Berger and published by GRIN Verlag. This book was released on 2018-11-12 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2017 in the subject Business economics - Investment and Finance, grade: 1.3, University of Frankfurt (Main), language: English, abstract: This bachelor thesis investigates different determinants for absolute and relative fund flows in socially responsible investment (SRI) funds and conventional funds on the German Market. My multivariate analyses study the flow performance relationship, but also incorporate persistence in flows, expenses and typical fund characteristics such as age, total net assets and number of share classes. I find a high dependency of flows on prior returns from funds known as a return chasing behaviour. My model shows different flow-performance relations depending on the kind of sustainability fund and how the perception of investors changed over time towards being more sensitive regarding SRI criteria. Most importantly there exists a strong momentum effect for funds shown with persistent flows in Germany over different periods of time.

Download or read book The Oxford Handbook of Hedge Funds written by Douglas Cumming and published by Oxford University Press. This book was released on 2021 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook provides a comprehensive look at the hedge fund industry from a global perspective.

Download or read book Flows and Performance of Mutual Funds During the Financial Crisis written by David Akira Hofer and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis analyzes the performance and fund flows of mutual funds during the period from 2004 to 2012, including the sub periods pre-crisis (2004 Q1 to 2007 Q2), crisis (2007 Q3 to 2009 Q1) and post-crisis (2009 Q2 to 2012 Q4) based on the data provided by CRSP. In line with existing literature I find a negative alpha applying the Fama and French (1992) three factor and Carhart (1997) four factor model for the whole period, indicating that mutual funds cannot outperform the market. I also find that alpha is higher in the pre-crisis period than in the crisis and post-crisis period, which indicates that the crisis affected the performance of mutual funds and could not recover from the crisis or even decreased since the crisis. In addition using Fama-MacBeth (1973) regressions I find a significant negative impact of the expense ratio on performance for the whole period and the post-crisis period. Regarding fund flows I could confirm the positively convex flow performance sensitivity for all periods analyzed using Fama-MacBeth (1973) regressions. I however find inconclusive results about the impact of the crisis on the flow performance sensitivity. I further find that young funds attract more net inflows for all periods analyzed, and that expense ratio has a negative impact on fund flows except in the post-crisis period. These results contribute to existing research by analyzing the most recent period and the impact of the crisis on performance and flows of mutual funds.

Download or read book Time Value of Money written by Fouad Sabry and published by One Billion Knowledgeable. This book was released on 2024-02-11 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is Time Value of Money The time value of money is the widely accepted conjecture that there is greater benefit to receiving a sum of money now rather than an identical sum later. It may be seen as an implication of the later-developed concept of time preference. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Time value of money Chapter 2: Discounted cash flow Chapter 3: Discounting Chapter 4: Net present value Chapter 5: Present value Chapter 6: Interest rate swap Chapter 7: Perpetuity Chapter 8: Future value Chapter 9: Rational pricing Chapter 10: Bond valuation Chapter 11: Bond duration Chapter 12: Actuarial notation Chapter 13: Rate of return Chapter 14: Modified internal rate of return Chapter 15: Amortizing loan Chapter 16: Weighted-average life Chapter 17: Dividend discount model Chapter 18: Marginal efficiency of capital Chapter 19: Continuous-repayment mortgage Chapter 20: Public Market Equivalent Chapter 21: Annuity (II) Answering the public top questions about time value of money. (III) Real world examples for the usage of time value of money in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Time Value of Money.

Download or read book Flow of Funds Analysis written by John C. Dawson and published by M.E. Sharpe. This book was released on 1996-06-27 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a collection of articles on the flow of funds that attempts to serve as a reference guide to economists in academia, business, finance and government. Flow of funds analysis is widely used in analysis of financial institutions and markets. In fact, they were largely constructed by the Federal Reserve and other central banks and were the foundations for defining and measuring the various concepts of the monetary aggragates used as key targets by central banks in carrying out monetary policy. The book brings together the scattered articles on the subject and should be useful as a research guide and teaching source.

Download or read book Foundations and Applications of the Time Value of Money written by Pamela Peterson Drake and published by John Wiley & Sons. This book was released on 2009-09-08 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprehensive coverage of the time value of money In this book, authors Pamela Peterson Drake and Frank Fabozzi fully expand upon the type of time value of money (TVM) concepts usually presented as part of overviews given in other general finance books. Various TVM concepts and theories are discussed, with the authors offering many examples throughout each chapter that serve to reinforce the tools and techniques covered. Problems and detailed solutions-demonstrated using two different financial calculators, as well as Excel-are also provided at the end of each chapter, while glossary terms are provided in an appendix to familiarize you with basic terms. Provides the basic foundations of the time value of money Covers issues ranging from an introduction of financial mathematics to calculating present/future values and understanding loan amortization Contains problem/solution sets throughout, so you can test your knowledge of the topics discussed Understanding the time value of money is essential, and this reliable resource will help you gain a firm grasp of its many aspects and its real-world applications.

Download or read book Mutual Fund Flows and Cross Fund Learning Within Families written by David P. Brown and published by . This book was released on 2014 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a model of performance evaluation and fund flows for mutual funds in a family. Family performance has two effects on the estimate of a member fund's skill and its inflows: a positive common-skill effect, and a negative correlated-noise effect. The overall spillover is either positive or negative, depending on the weight of common skill and correlation of noise in returns. Its absolute value increases with family size, and declines over time. The sensitivity of flows to a fund's own performance is affected accordingly. Empirical estimates of fund flow sensitivities show patterns consistent with rational cross-fund learning within families.

Download or read book The Long and the Short written by Anne M. Tucker and published by . This book was released on 2018 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual fund portfolio turnover ratios (PTR) are at the center of the short-termism debate, which criticizes corporate maneuvers taken to prop up near-term earnings at the expense of long-term, value focused investments and policies. Scholars and policymakers often rely on portfolio turnover ratios to argue that mutual fund short-termism, as measured by the PTR, is increasing and infecting operating company time horizons. This article answers two main questions central to discerning mutual funds' role in the short-termism debate. The first is, how long, on average do U.S. registered mutual funds hold onto their assets? The second is, how good of a measure is the PTR at approximating mutual fund holding patterns in light of criticisms that the PTR is an indirect measure, does not reflect fund flows, and excludes investment strategy considerations?Using a unique data set of U.S. registered mutual funds from 2005-15, this Article finds that mutual fund investment time horizons, as measured by portfolio turnover ratios, did not decline during 2005-15. This finding holds for all major categories of mutual funds, including index funds and actively managed funds and produced an average holding period in the range of fifteen to seventeen months. Based on this analysis, scholars and policymakers may think of mutual fund investment time horizons as short, but not shortening. These findings are confirmed by three alternative measurements of time horizons: Duration, Churn Rates, and Modified Portfolio Turnover. Consistent across-measure results mitigate PTR criticisms as a rough estimate of time horizons and endorse its continued use in SEC reporting. These observations also validate policymakers' and scholars' use of mutual fund PTRs in legal and policy debates, and contribute current, empirical evidence adding nuance to claims of mutual fund short-termism.

Download or read book When is Money Smart Mutual Fund Flows Energy Prices and Household Disposable Income written by Swasti Gupta-Mukherjee and published by . This book was released on 2016 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study shows that the representative investor's sophistication in the market for mutual funds is time-varying, and increases with the constraints on household disposable income at the aggregate level. Based on the fact that energy commodities are largely inelastic household expenditures that reduce disposable income, I use changes in retail energy prices to proxy for short-run exogenous changes in the disposable income of potential investors. New money flows to actively managed U.S. equity mutual funds decrease with the constraints on disposable income, ceteris paribus. The representative investor shows fund selection and timing ability only in periods when the constraints on disposable income sharply increase, but does not display discernable ability unconditionally. Fund flows are more rationally sensitive to price (i.e. fees and loads) and funds' past risk-adjusted performance when the constraints on disposable income increase. The results are also consistent with the representative fund investor displaying more aversion towards funds associated with more agency problems and inferior manager skill in periods when the constraints on disposable income increase.

Download or read book Market Volatility and Mutual Fund Cash Flows written by Dengpan Luo and published by . This book was released on 2003 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relation between market volatility and monthly mutual fund cash flows. We find that bond fund investors in the period of 1984 through 1998 do not respond to past stock market volatility at the aggregate level after we take into account the persistency of volatility over time and the relation between risks and returns. On the other hand, stock fund investors respond negatively to concurrent and past long term (semi-annual and annual) market volatility. Stock fund investors' volatility timing behavior explains why fund managers decrease market exposure during periods of high market volatility. We also find that the negative relation between stock fund flows and market volatility is not entirely driven by the persistency of volatility over time or the relation between risks and returns. Using semi-variance of daily stock market returns, we find no evidence that investors are only concerned about downside volatility. Both upside volatility and downside volatility have negative impact on subsequent stock fund flows. We also find that stock fund flows in our sample period have strong positive impact on the subsequent market volatility. It provides some evidence that the momentum of mutual fund investors, often referred to as quot;noisy tradersquot;, do destabilize the overall stock market to some extent.

Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.