Diversification and Portfolio Management of Mutual Funds

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ISBN: 9780230019157 | 0230019153
Cover: Hardcover
Copyright: 1/15/2007

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This significant new book addresses the important issue of diversification in an age where it is vital to reduce volatility on investments. The expert authors guide investors through international portfolio diversification, make clear how to help improve the efficiency of their investments, and explain how international diversification reduces the risk of an investment portfolio. This key book educates investors about how international mutual finds enhance the performance of their portfolio. The authors analyze which factors are most essential to investors, and find that both financial factors and behavioural arguments must be considered.

Acknowledgments	p. xii
Notes on the Contributors	p. xiii
Introduction	p. xxiii
Diversification into Art Mutual Funds	p. 1
Introduction	p. 1
Art as an asset	p. 2
Art mutual funds	p. 5
Art price data qualifications	p. 8
Conclusion	p. 15
Funds of Funds: Diversification, Selection or Expense Arbitrage?	p. 18
Introduction	p. 18
FOF background and data	p. 21
The data	p. 28
Empirical results	p. 32
Conclusion	p. 47
Are Investors Home Biased? Evidence from Germany	p. 57
Introduction and related work	p. 57
Data	p. 62
Empirical analysis	p. 65
Conclusion	p. 73
International Mutual Fund Efficiency and Monetary Policy Sensitivity	p. 78
Introduction	p. 78
The efficiency model and estimates	p. 79
Monetary policy sensitivity of international indices	p. 84
International mutual funds efficiency and monetary policy	p. 89
Conclusion	p. 92
Equity Portfolio Construction: A Comparative Analysis	p. 94
Introduction	p. 94
Fortfolio construction: the main steps	p. 96
Back-testing methodology and datasets features	p. 109
Main results	p. 112
Conclusion	p. 118
Improvements and Limitations of the Revised Morningstar Fund Rating Methodology	p. 121
Introduction	p. 121
The new Morningstar fund-rating approach	p. 123
Improvements and limitations	p. 127
Conclusion	p. 133
Mutual Fund Flows and Expected Stock Returns in Germany: The Role of the Benchmark and of Expectation Biases	p. 138
Introduction	p. 138
Portfolio selection and exogenous returns	p. 141
Portfolio selection and endogenous returns	p. 143
Numerical analysis	p. 145
Implications and hypotheses	p. 151
Empirical analysis	p. 155
Conclusion	p. 161
Herding Behavior: Evidence from Portuguese Mutual Funds	p. 167
Introduction	p. 167
Hypotheses and methodology	p. 170
Data	p. 174
Results	p. 177
Conclusion	p. 186
The "Best of Both Worlds" Fund: Exchange Traded Funds in Australia	p. 198
Introduction	p. 198
ETF structure	p. 199
The anti-delegation rule	p. 202
Conclusion	p. 204
The Relative Impact of Different Classification Schemes on Mutual Fund Flows	p. 206
Introduction	p. 206
Data description	p. 210
Methodology	p. 213
Relationship between flows and performance relative to the stated objective category	p. 216
Relationship between flows and performance relative to the stated objective, Morningstar style, and asset class categories	p. 219
Relationship between flows and ordinal as well as Cardinal measures of performance	p. 224
Category-specific flow spillover effect from a star fund to the other funds in the family	p. 226
Conclusion	p. 228
Exploiting Industry Momentum with Sector Funds: The Case of the European Market	p. 232
Introduction	p. 232
Industry-sector mutual funds	p. 235
Sample and descriptive statistics	p. 236
Average returns of momentum portfolios	p. 240
The performance of momentum portfolios	p. 245
Additional investigations	p. 248
Conclusion	p. 252
US and Chinese Mutual Fund Regulation	p. 256
Introduction	p. 256
Background	p. 257
Fund offerings	p. 258
Fund governance	p. 259
Disclosure requirements	p. 261
Fund fees	p. 264
Distribution compensation	p. 265
Pricing, sales and redemptions	p. 266
Affiliated transactions	p. 268
Money market funds	p. 269
Conclusion	p. 270
Some Insights on the Behavior of the Mutual Fund Industry In Spain	p. 272
Introduction	p. 272
The mutual fund industry in Spain	p. 276
Data	p. 277
Models of performance evaluation	p. 280
Empirical results	p. 282
Conclusion	p. 308
On the Supposed Foreign Superiority: The Italian Tax Puzzle	p. 312
Introduction	p. 312
Economic framework	p. 313
The tax puzzle	p. 314
The database	p. 315
Empirical results	p. 317
Conclusion	p. 324
Corporate Governance of Mutual Funds in Pakistan	p. 334
Introduction	p. 334
Importance of corporate governance for mutual funds	p. 338
History of mutual funds in Pakistan	p. 339
Code of corporate governance in Pakistan and international best practices	p. 341
Conclusion	p. 350
Determinants of Pension Funds Underwriting and Implications for Portfolio Management: Evidence from Italy	p. 353
Introduction	p. 353
Social security reforms in Italy	p. 357
Empirical evidence on pension funds underwriting	p. 359
Some implications for portfolio management of pension funds	p. 366
Conclusion	p. 370
Managerial Response to Mutual Fund Performance in the Spanish Market: An Agency Approach	p. 373
Introduction	p. 373
Agency problems associated with information asymmetries between managers and mutual fund investors	p. 374
Data and methodology	p. 381
Results	p. 382
Conclusion	p. 385
Analysis of the Mutual Fund Demand in the Spanish Market	p. 389
Introduction	p. 389
The role of mutual funds in the future of financial activity	p. 391
The influence of behavioral factors in investor decisions to choose mutual funds	p. 394
Empirical analysis	p. 396
Conclusion	p. 404
Index	p. 409
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