Brothers from different mothers how distribution fees change investment behavior

Navone, Marco; Pagani, Marco

doi:10.1016/j.jbankfin.2014.10.013

Cited by 7 publications

(11 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The results achieved show that in general terms the investors in the funds analyzed show negative timing skills (a result similar to that obtained by Friesen and Sapp, 2007). Navone and Pagani (2015) Another interesting result in this paper is that SR mutual fund investors make good timing decisions with regard to net purchases but wrong decisions concerning net withdrawals.…”

Section: Literature Reviewsupporting

confidence: 81%

“…Two additional works that investigate the same issue using the same methodology are those by Chieh-Tse Hou (2012), who analyzes a sample of equity mutual funds from Taiwan, achieving similar results to those obtained by Friesen and Sapp (2007), and Navone and Pagani (2015), who compare the results for load funds with those for no-load funds. The scope of Navone and Pagani's (2015) paper is wider, and it analyzes the impact of these loads on fund flows. As an additional analysis, the authors study the cash flow timing skills of the investors in their sample.…”

Section: Literature Reviewmentioning

confidence: 78%

“…The literature about investor timing skills shows the relevance of controlling for mutual fund characteristics (Friesen and Sapp, 2007;Dichev and Yu, 2011;Navone and Pagani, 2015;Muñoz, 2016, among others). These controls are necessary, since certain mutual fund characteristics are related to the level of investor sophistication or the level of information available to investors when making investment decisions.…”

Section: Results Controlling For the Level Of Information And Sophistmentioning

confidence: 99%

“…Insert Table 2 The average net expense ratio for the funds with the lowest values (Q1) is 0.62%, and for the funds with the highest values (Q4) it is 1.962%. The mean net income ratios are - The methodology that we adopt as a reference is used by authors such as Friesen and Sapp (2007), Dichev and Yu (2011), Navone and Pagani (2015) and Muñoz (2016). For each fund we compute the geometric monthly mean return, the dollar-weighted mean return and the performance gap as the difference between them.…”

Section: Methodsmentioning

confidence: 99%

“…Among the most remarkable papers concerning the second type of skills, cash flow timing skills, are the following: Friesen and Sapp (2007), Dichev and Yu (2011), Chieh-Tse Hou (2012), Navone and Pagani (2015) and Muñoz (2016). Friesen and Sapp's (2007) study is the first to analyze the timing skills of mutual fund investors using data of fund flows at the individual fund level.…”

Section: Literature Reviewmentioning

confidence: 99%

See 4 more Smart Citations

Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?

Muñoz

Vicente

2018

Journal of Empirical Finance

View full text Add to dashboard Cite

This paper analyzes the cash flow timing skills of mutual fund investors, controlling for the hindsight effect (HE) by implementing the method developed by Hayley (2014) for stock market investors. Previous papers in the literature studying the timing skills of mutual fund investors do not control for this effect, which biases downward the actual timing skills of these investors. Accordingly, we analyze a sample of US domestic equity mutual funds in the period from January 1990 to January 2016. For each fund in the sample, we compute, over the entire period analyzed, the dollar-weighted monthly (DW) return, the geometric monthly (GM) return, the gap (the difference between the DW and the GM), the HE and the corrected timing measure after correcting for this effect. Before controlling for the HE, we find that mutual fund investors worsen the return that they achieve with their timing decisions by 1.80% annually (similar to the evidence provided previously in the literature). However, after controlling for the HE, we observe that investors really harm the returns that they achieve with their timing decisions by 0.71% annually. We establish several controls for different investment styles, and we obtain empirical evidence of the same phenomenon for all of them. Besides, we control for the size and age of the mutual fund (proxies for the level of information available for the fund). The results obtained indicate that investors in older and bigger funds show better timing skills than investors in younger and smaller funds. We also analyze how investors' level of sophistication affects our results by controlling for the net expense ratio, net income ratio, turnover ratio, institutional/non-institutional character, load/no-load regime and gap results. In general terms we observe that more sophisticated investors show better timing results and that the HE is more relevant to less sophisticated investors.

show abstract

Section: Literature Reviewsupporting

confidence: 81%