A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization
This paper presents a model in which investors cannot remain in the market to trade at all times. As a result, they have an incentive to set up trading firms or financial market intermediaries (FMI's) to take over their portfolio while they engage in other activities. Previous research has assumed that such firms act like individuals endowed with a utility function. Here, as in reality, they are firms that simply take orders from their investors. From this setting emerges a theory of mutual funds and other FMI's (such as investment
|Date of creation:||01 Sep 2001|
|Date of revision:|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Steven J. Davis & Paul Willen, 2000.
"Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice,"
NBER Working Papers
7905, National Bureau of Economic Research, Inc.
- Steven J. Davis & Paul Willen, 2013. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1350011-1-1.
- Steven J. Davis & Paul Willen, 2000. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," CRSP working papers 523, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Davis, Steven J. & Willen, Paul S., 2013. "Occupation-level income shocks and asset returns: their covariance and implications for portfolio choice," Working Papers 13-9, Federal Reserve Bank of Boston, revised 24 Oct 2013.
- Ho, Thomas S Y & Stoll, Hans R, 1983. " The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-74, September.
- Dermine, Jean & Neven, Damien & Thisse, Jacques F., 1991. "Towards an equilibrium model of the mutual funds industry," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 485-499, June.
- Biais, Bruno & Foucault, Thierry & Salanie, Francois, 1998.
"Floors, dealer markets and limit order markets,"
Journal of Financial Markets,
Elsevier, vol. 1(3-4), pages 253-284, September.
- William N. Goetzmann & Stephen J. Brown, 1998.
"Mutual Fund Styles,"
Yale School of Management Working Papers
ysm40, Yale School of Management.
- Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
- Kyle, Albert & Campbell, John, 1993.
"Smart Money, Noise Trading and Stock Price Behaviour,"
3208217, Harvard University Department of Economics.
- Campbell, John Y & Kyle, Albert S, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 1-34, January.
- Campbell, J.Y. & Kyle, A.S., 1988. "Smart Money, Noise Trading And Stock Price Behavior," Papers 95, Princeton, Department of Economics - Financial Research Center.
- John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
- Pirrong, Craig, 1999. "The organization of financial exchange markets: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 2(4), pages 329-357, November.
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Ajay Khorana & Henri Servaes, 2011. "What Drives Market Share in the Mutual Fund Industry?," Review of Finance, European Finance Association, vol. 16(1), pages 81-113.
When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:amz2507. 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: ()
If references are entirely missing, you can add them using this form.