5 March 2019 from 11:00 to 12:30

Cross Asset Information Synergy in Mutual Fund Families

U.S.E Seminar with Jennie Bai (Georgetown University)

Spinoza Hall

Jennie Bai is an assistant professor in Georgetown University, in Washington D.C. Her research focuses on credit risk and liquidity risk in banking and the fixed-income market.

She will speak on cross asset information synergy in mutual fund families

Abstract

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset frictions regarding asset market segmentation. We find that equity funds and corporate bond funds linked within a mutual fund family (sister funds) exhibit a significant co-movement in holdings of commonly-held firms' equities and bonds. In contrast, we do not find such a pattern for funds in different families. We show that the holding co-movement is driven by information sharing among sister funds, and such funds make more profit-enhancing investment decisions on common holdings, compared to stand-alone funds. Our findings suggest that collaboration between equity funds and bond funds improves fund performance.

Start date and time
5 March 2019 11:00
End date and time
5 March 2019 12:30