A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?

Wagner, Niklas; Winter, Elisabeth

doi:10.1016/j.jempfin.2012.12.005

Cited by 26 publications

(3 citation statements)

References 42 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Wagner and Winter (2013) find that MF managers prefer more liquid stocks in their portfolios. MF managers need to hold securities that are more liquid in the fund portfolio.…”

Section: Industry Background and Prior Literaturementioning

confidence: 85%

Tailored versus Mass Produced: Portfolio Managers Concurrently Managing Separately Managed Accounts and Mutual Funds

Chen

Johnson

et al. 2017

The Financial Review

View full text Add to dashboard Cite

Using a matched sample of separately managed accounts (SMAs) and mutual funds (MFs) with the same portfolio manager and investment style, we find that concurrently managed MFs consistently underperform their SMA counterparts and generate more negative return gaps. Fund characteristics and liquidity betas fail to fully explain the underperformance. An event‐study analysis finds that the weights placed into top (bottom)‐performing stocks increase for existing SMAs (MFs) and negative return gaps increase for the MFs after the onset of concurrent management. We find that higher compensation collected by SMA fund managers are associated with more unseen managerial actions which positively contribute to the SMA return gap. Our results suggest that when managers concurrently manage both SMAs and MFs, they favor SMA performance over their MF performance.

show abstract

“…Wagner and Winter (2013) find that MF managers prefer more liquid stocks in their portfolios. MF managers need to hold securities that are more liquid in the fund portfolio.…”

Section: Industry Background and Prior Literaturementioning

confidence: 85%

Tailored versus Mass Produced: Portfolio Managers Concurrently Managing Separately Managed Accounts and Mutual Funds

Chen

Johnson

et al. 2017

The Financial Review

View full text Add to dashboard Cite

show abstract

“…Firm size is a significant predictor of idiosyncratic return volatility (Lee and Jang 2007;Sorescu and Spanjol 2008). Liquidity is controlled because liquidity risk is likely to affect current or future earnings (Chaudhry et al 2004;Wagner and Winter 2013). They argue that liquidity risk exposure allows fund managers to take advantage of a positive liquidity risk premium or if fund managers are unable to liquidate assets/stocks.…”

Section: Control Variablesmentioning

confidence: 99%

Systematic and Idiosyncratic Risks of the U.S. Airline Industry

Bhuyan

Mollick

Amin

2022

JRFM

View full text Add to dashboard Cite

Understanding the risky nature of the airline industry has received attention in the tourism literature from separate angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been ignored. This study fills this gap in the tourism literature by investigating the effect of passengers’ air travel on systematic and idiosyncratic risks of the U.S. airline industry. Using historical air travel data and utilizing both OLS and fixed-effect models, this paper documents negative relationships between the occupancy of airline seats and idiosyncratic risks for 21 U.S. airline companies. This negative effect of occupancy is more pronounced if air travel distances are shorter, companies have lower leverage ratios, and companies are smaller in size. Policy implications for both airline managers and investors are provided.

show abstract

“…Typical of the adaptions of the three-and four-factor models is the study by Wagner and Winter (2013), who extend the Fama and French (1992) and Carhart (1997) factor models by adding two new factors representing liquidity and idiosyncratic risk to form a six-factor model. Others have factored economic elements into their models such as Stivers and Sun (2010), who utilise the classic four-factor model in their study on the cross-sectional dispersion in stock returns under varying economic conditions.…”

Section: Evaluating and Adapting The Classic Modelsmentioning

confidence: 99%

Realism, Skill & Incentives: Current and Future Trends in Investment Management and Investment Performance

2015

View full text Add to dashboard Cite

We review the recent trends in investment management and performance research and highlight the fields expected to develop further in the future. The trend to adapt the classic CAPM and factor models seems likely to continue, with the drive for realistic factors, which best proxy the drivers of investment performance, playing a key role. The search for skill, based on enhanced benchmarks, is also a developing area, with new concepts of identification and verification at the fore. The availability of more qualitative data has allowed corporate finance themes such as agency conflict and incentives to be explored. These are some of the areas where we have seen major developments in recent years and where we expect to see continuing development.

show abstract

A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?

Cited by 26 publications

References 42 publications

Tailored versus Mass Produced: Portfolio Managers Concurrently Managing Separately Managed Accounts and Mutual Funds

Tailored versus Mass Produced: Portfolio Managers Concurrently Managing Separately Managed Accounts and Mutual Funds

Systematic and Idiosyncratic Risks of the U.S. Airline Industry

Realism, Skill & Incentives: Current and Future Trends in Investment Management and Investment Performance

Contact Info

Product

Resources

About