A new look at mutual fund tournament hypothesis using spatial modeling

Date

2015

Author

Tuzcu, Sevgi Eda

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Literature indicates that mutual fund investors react strongly to prior fund performance, though this reaction is not symmetric. Many papers suggest that this relation creates incentives for fund managers to change the portfolio risk towards the end of the year in order to be placed among the winners. Contrary findings, on the other hand, highlight the importance of cross correlation and auto correlation in the fund flow data, which may bias the results. Hence, this study investigates the existence of this incentive creating convex association for Turkish mutual fund industry with spatial modeling techniques. I account for the spatial dependence among mutual funds.

Subject Keywords

Mutual funds., Investments., Econometrics., Funds-flow statements.

URI

http://etd.lib.metu.edu.tr/upload/12618733/index.pdf
https://hdl.handle.net/11511/24637

Collections

Graduate School of Social Sciences, Thesis