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Investment Behaviour of German Equity Fund Managers

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  • Arnswald, Torsten
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    Abstract

    In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights into their company's performance-measurement and compensation incentives. It was possible to identify three core types of investors, labelled fundamentalists, tacticians and methodologists, in the data on investment behaviour. Common to all types is the primary aim of achieving above-average returns on investment with due allowance being made for sluggishness in the reaction of market prices to new information. Another universal feature of institutional equity investing turns out to be a heavy reliance on information sources which offer a means of confirmation and through which the contagions of fear and exuberance may be transmitted. In general fund managers exhibit a pronounced preference for "winner-type" and "spotlight" stocks as well. All investor groups recognise, in the first instance, underlying economic information as a source of superior value. However, a potential for exaggerated market dynamics is suggested by the fact that the mere arrival of news from corporations or analysts' earnings revisions is generally thought to impart as strong a market impulse as the perceived mispricing of stocks relative to the market or sector as such. Furthermore, those who appear to be best suited to conduct fundamental arbitrage are nevertheless likely to be constrained, to a significant extent, by time horizons and the fear of market movements. Besides investment focus and basic attitudes towards market efficiency, agency problems are shown to have a bearing on equity fund managers' investment behaviour. -- Dieser Studie liegt eine breit angelegte Umfrage zugrunde, an der sich die Mehrheit der Aktienfondsmanager aus nahezu allen Investmentgesellschaften mit Sitz in Deutschland beteiligten. Die Fondsmanager sind zu ihren grundlegenden Ansichten sowie ihren Praktiken befragt worden, um auf systematische Weise Investmentprozesse institutioneller Anleger zu ergründen. In diesem Rahmen wurde auch um Angaben über die Leistungsbewertung der Fondsmanager seitens ihrer Unternehmungsleitung und über die angewandten Leistungsanreize gebeten. Aus den gewonnenen Daten über das Investitionsverhalten konnten drei Hauptgruppen von Anlegern festgestellt werden, die sogenannten Fundamentalisten, Taktiker und Methodiker. Allen Gruppen gemeinsam ist das vorrangige Ziel, überdurchschnittliche Anlagerenditen zu erzielen. Dabei dominiert zugleich eindeutig die Vorstellung, daß Marktpreise auf neue Informationen nur träge reagieren. Ihren eigenen Angaben zufolge greifen Fondsmanager auch sehr auf solche Informationsquellen zurück, die letztlich für ihre Anlageentscheidungen bestätigend wirken und auf diese Weise Ansteckungseffekte wie Befürchtungen und Euphorien übertragen können. Im allgemeinen besitzen sie außerdem eine ausgeprägte Vorliebe für "Erfolgs"-Aktien und Aktien, denen die Aufmerksamkeit im Markte gilt. Alle Anlegergruppen erkennen zwar in erster Linie den Schlüssel für überdurchschnittliche Anlageresultate in der Analyse grundlegender Wirtschaftsinformationen; allerdings gibt es ebenso Hinweise auf ein Zustandekommen übertriebener Marktdynamiken. Allein der bloße Eingang von Nachrichten aus dem Unternehmenssektor oder Revisionen von Analystenschätzungen werden schon durchweg als ebenso starke Handelsimpulse betrachtet wie die Wahrnehmung grundlegend fehl bewerteter Aktienkurse selbst. Darüber hinaus zeigt sich, daß sogar die Fundamentalisten - die für eine den Markt stabilisierende Arbitrage am ehesten in Frage kommen -. in erheblichem Maße durch begrenzte Zeithorizonte und die Furcht vor Kursschwankungen eingeengt sind. Eine weitere Analyse ergibt, daß neben dem Anlageschwerpunkt und der grundsätzlichen Einstellung zur Markteffizienz auch "Agency"-Probleme das Anlageverhalten von Aktienfondsmanager nennenswert beeinflussen.

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    Bibliographic Info

    Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2001,08.

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    Date of creation: 2001
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    Handle: RePEc:zbw:bubdp1:4154

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    Keywords: Institutional investors? behaviour; mutual funds; equity markets; financial system stability;

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    Cited by:
    1. Menkhoff, Lukas & Schmidt, Ulrich & Brozynski, Torsten, 2006. "The impact of experience on risk taking, overconfidence, and herding of fund managers: Complementary survey evidence," European Economic Review, Elsevier, vol. 50(7), pages 1753-1766, October.
    2. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    3. Torben Lütje & Lukas Menkhoff, 2007. "What drives home bias? Evidence from fund managers' views," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 21-35.
    4. Thomas Gehrig & Lukas Menkhoff, 2005. "The Rise of Fund Managers in Foreign Exchange:Will Fundamentals Ultimately Dominate?," The World Economy, Wiley Blackwell, vol. 28(4), pages 519-540, 04.
    5. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank, Research Centre.
    6. Bank for International Settlements, 2003. "Incentive structures in institutional asset management and their implications for financial markets," CGFS Papers, Bank for International Settlements, number 21, March.
    7. Lütje, Torben, 2004. "To Be Good or To Be Better: Asset Managers Attitudes Towards Herding," Hannover Economic Papers (HEP) dp-297, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Thomas P. Gehrig & Torben Lütje & Lukas Menkhoff, 2009. "Bonus Payments and Fund Managers' Behavior: Transatlantic Evidence," CESifo Economic Studies, CESifo, vol. 55(3-4), pages 569-594.
    9. Lukas Menkhoff & Ulrich Schmidt, 2005. "The use of trading strategies by fund managers: some first survey evidence," Applied Economics, Taylor & Francis Journals, vol. 37(15), pages 1719-1730.
    10. Brozynski, Torsten & Menkhoff, Lukas & Schmidt, Ulrich, 2003. "The Use of Momentum, Contrarian and Buy-&-Hold Strategies: Survey Evidence from Fund Managers," Hannover Economic Papers (HEP) dp-290, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    11. Bauer, Christian & Herz, Bernhard, 2005. "Technical trading, monetary policy, and exchange rate regimes," Global Finance Journal, Elsevier, vol. 15(3), pages 281-302, February.
    12. Marina Nikiforow, 2010. "Does training on behavioural finance influence fund managers' perception and behaviour?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(7), pages 515-528.
    13. Éric Jondeau, 2004. "Gestion institutionnelle et volatilité des marchés financiers," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 157-175.

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