Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders
AbstractThis study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no-load mutual fund family. A proportional hazards model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened whether the account will be short term or long term. Simulations show that the liquidity costs imposed on the fund by the expected short-term shareholders are significantly greater than those imposed by the expected long-term shareholders. Combining these results, the analysis argues that mutual funds do not provide equitable liquidity-risk insurance. Copyright 2004 by The American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal The Journal of Finance.
Volume (Year): 59 (2004)
Issue (Month): 5 (October)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Christoffersen, Susan E.K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2005. "Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada," Journal of Financial Economics, Elsevier, vol. 78(1), pages 121-144, October.
- Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
- Johnson, Woodrow T., 2010. "Do investors trade uniformly through time?," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 645-658, September.
- Susan E. K. Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO.
- Nanda, Vikram K. & Wang, Z. Jay & Zheng, Lu, 2009. "The ABCs of mutual funds: On the introduction of multiple share classes," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 329-361, July.
- Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
- Johnson, Woodrow T., 2010. "Who incentivizes the mutual fund manager, new or old shareholders?," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 143-168, April.
- Dubofsky, David A., 2010. "Mutual fund portfolio trading and investor flow," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 802-812, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.