IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v24y2001i3p419-42.html
   My bibliography  Save this article

The Performance of Bank-Managed Mutual Funds

Author

Listed:
  • Frye, Melissa B

Abstract

The ability of banks to offer proprietary mutual funds has expanded over recent years, and the mutual fund industry has been a significant growth area for banks. I examine the growth and performance of bank proprietary bond mutual funds. The empirical results show no evidence that bank-managed mutual funds underperform nonbank funds. I find some evidence that bank managers are more conservative than nonbank managers in terms of investment strategy and that banks appear more likely to target individual rather than institutional investors. Also, I find that abnormal fund performance does not appear to be a significant determinant of the net asset flows into and out of bank-managed mutual funds. Rather, the results suggest bank investors rely mainly on past marketing information and the general reputation of the bank.

Suggested Citation

  • Frye, Melissa B, 2001. "The Performance of Bank-Managed Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(3), pages 419-442, Fall.
  • Handle: RePEc:bla:jfnres:v:24:y:2001:i:3:p:419-42
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    References listed on IDEAS

    as
    1. Fernandes, Marcelo & Grammig, Joachim, 2006. "A family of autoregressive conditional duration models," Journal of Econometrics, Elsevier, pages 1-23.
    2. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University.
    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    4. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, pages 35-68.
    5. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, pages 789-816.
    6. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, pages 589-609.
    7. Engle, Robert F & Lunde, Asger, 1998. "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series qt8bh079sq, Department of Economics, UC San Diego.
    8. Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.
    9. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit.
    10. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, pages 53-74.
    11. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
    12. Christophe Bisière & Thierry Kamionka, 2000. "Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse," Annals of Economics and Statistics, GENES, pages 43-72.
    13. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
    14. Dan Ladley & Klaus Reiner Schenk-Hoppe, 2007. "Do Stylised Facts of Order Book Markets Need Strategic Behaviour?," Swiss Finance Institute Research Paper Series 07-20, Swiss Finance Institute.
    15. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, pages 427-428.
    16. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, pages 817-831.
    17. Engle, Robert F. & Russell, Jeffrey R., 1997. "Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model," Journal of Empirical Finance, Elsevier, pages 187-212.
    18. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, pages 1-22.
    19. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 113-140.
    20. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, pages 973-1005.
    21. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, pages 1-22.
    22. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, pages 636-661.
    23. repec:adr:anecst:y:2000:i:60:p:03 is not listed on IDEAS
    24. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 159-188.
    25. Russell, Jeffrey R. & Engle, Robert F., 2005. "A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 166-180, April.
    26. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, pages 133-152.
    27. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, pages 17-39.
    28. Roberto Pascual & David Veredas, 2009. "What pieces of limit order book information matter in explaining order choice by patient and impatient traders?," Quantitative Finance, Taylor & Francis Journals, pages 527-545.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mehran, Hamid & Stulz, Rene M., 2007. "The economics of conflicts of interest in financial institutions," Journal of Financial Economics, Elsevier, pages 267-296.
    2. Fabian Irek, & Jan Jaap Hazenberg & Willem van der Scheer & Mariela Stefanova, 2013. "The Lure of the Brand: Evidence from the European Mutual Fund Industry," LSF Research Working Paper Series 13-8, Luxembourg School of Finance, University of Luxembourg.
    3. Golez, Benjamin & Marin, Jose M., 2015. "Price support by bank-affiliated mutual funds," Journal of Financial Economics, Elsevier, pages 614-638.
    4. repec:luc:wpaper:13-8 is not listed on IDEAS
    5. Ken Johnston & Chris Paul, 2005. "Further evidence of the November effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, pages 280-288.
    6. Gallaher, Steven & Kaniel, Ron & Starks, Laura T, 2015. "Advertising and Mutual Funds: From Families to Individual Funds," CEPR Discussion Papers 10329, C.E.P.R. Discussion Papers.
    7. Geranio, Manuela & Zanotti, Giovanna, 2005. "Can mutual funds characteristics explain fees?," Journal of Multinational Financial Management, Elsevier, pages 354-376.
    8. Alves, Paulo, 2015. "The Fees of Mutual Funds and Real Estate Funds: Their Determinants in a Small Market," MPRA Paper 65490, University Library of Munich, Germany.
    9. Carlos Alves & Victor Mendes, 2004. "Self-Interest on Mutual Fund Management: Evidence from the Portuguese Market," FEP Working Papers 162, Universidade do Porto, Faculdade de Economia do Porto.
    10. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    11. Linh Tran Dieu, 2015. "A Comparison of Bank and Non-bank Funds in the French Market," Journal of Financial Services Research, Springer;Western Finance Association, pages 273-294.
    12. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    13. Gil Bazo, Javier & Martínez Sedano, Miguel Angel, 2004. "The Black Box of Mutual Fund Fees," DFAEII Working Papers 2004-01, University of the Basque Country - Department of Foundations of Economic Analysis II.
    14. G. Koppenhaver & Travis Sapp, 2005. "Money Funds or Markets? Valuing Intermediary Services," Journal of Financial Services Research, Springer;Western Finance Association, pages 51-76.
    15. Alves, Paulo, 2016. "The Expenses of Real Estate Funds in a Small Market: Their Determinants," MPRA Paper 83275, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:24:y:2001:i:3:p:419-42. See general information about how to correct material in RePEc.

    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). General contact details of provider: http://edirc.repec.org/data/sfaaaea.html .

    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.

    We have no references for this item. You can help adding them by using 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.