Type of Document Dissertation Author Ling, Leng Author's Email Address Rockyling1973@hotmail.com, Lling13@yahoo.com URN etd-06132008-144714 Title Two essays on managerial behaviors in the mutual fund industry Essay 1: A life-cycle analysis of performance and growth in U.S. mutual funds Essay 2: Can mutual fund window-dressing promote fund flows? Degree Ph.D. Department Finance Advisory Committee
Advisor Name Title Dr. Gerald Gay Committee Co-Chair Dr. Jason Greene Committee Co-Chair Dr. Conrad Ciccotello Committee Member Dr. Harley Ryan Committee Member Keywords
- Mutual funds; Window dressing; Fund flows; Life cy
Date of Defense 2008-05-21 Availability unrestricted Abstract ABSTRACT
TWO ESSAYS ON MANAGERIAL BEHAVIORS
IN THE MUTUAL FUND INDUSTRY
LENG LING
ESSAY 1: DOES MUTUAL FUND WINDOW-DRESSING PROMOTE
FUND FLOWS?
I investigate the effectiveness of window-dressing as a potential strategy to be used by mutual fund managers to promote fund flows. Using a rank gap measure as a proxy for the likelihood that window-dressing has occurred, I find that fund investors as whole punish those managers who are suspected to have engaged in window-dressing. That is, I find a negative relation between the window-dressing measure and net fund flows in subsequent quarters after controlling for fund performance, size, expense ratio, and other pertinent characteristics. I also find that window-dressing leads to higher trading activities and lower fund performance.
ESSAY 2: A LIFE CYCLE ANALYSIS OF PERFORMANCE AND GROWTH
IN U.S. MUTUAL FUNDS
I propose a five-stage growth model to describe the life cycle evolution of mutual funds and show that mutual funds exhibit distinctive performance, size, expense ratios, asset turnover, and other pertinent characteristics through stages of incubation, high-growth, low-growth, maturity, and decline. I also investigate the viability of managerial strategies to affect a fund’s life cycle evolution and find that changing a declining fund’s investment objective is effective in rejuvenating asset growth and thus repositioning the fund to younger life cycle stages. However, the strategy of adding portfolio managers appears to have no such rejuvenation effect.
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