Dynamics of Cross-Border Flow-Performance Relationships (eBook)

Simon Weiler works as a research analyst and consultant for an international fund research and information provider.

Table of contents 6
List of tables 9
List of illustrations 10
List of appendices 12
Abbreviations 13
Abstract 14
1. Introduction 15
1.1. Problem outline and significance 15
1.2. Review of comparable and related research 17
1.3. Research questions and hypotheses 20
1.4. Set up & structure
1.5. Primary sources 26
2. Properties of the mutual fund industry 28
2.1. Properties of mutual funds 28
2.1.1. Purpose and benefits of mutual funds 28
2.1.2. Active versus passive mutual funds 29
2.1.3. Open-ended versus closed-end funds 30
2.1.4. Justification for existence 31
2.2. Market development and competition 32
2.2.1. Market size and development: Global 32
2.2.2. Market size and development: Europe 34
2.2.3. Competition within the European fund industry 38
2.3. Economies of scale 42
2.4. Boutique versus large fund management companies 43
3. Outperformance & performance persistence
3.1. How to identify outperformers 46
3.1.1. Asset class classifications 46
3.1.2. Performance evaluation 47
3.2. Persistence of mutual fund returns 51
3.3. Life-cycle theory 53
4. Investor behavior 56
4.1. Behavioral finance and the flow-performance relationship 56
4.2. Incorporating investor irrationalities in quantitative models 58
5. Methodology & definitions
5.1. Empirical set up 59
5.1.1. Data source 59
5.1.2. Data horizon and frequency 60
5.1.3. Data focus & sample limitations
5.1.4. Required data types 64
5.2. Data sample 67
5.3. Quantitative methods 70
5.3.1. General remarks 70
5.3.2. Correlation models 72
5.3.3. Regression models 74
6. Time series analysis 78
6.1. Correlation analysis 78
6.2. Bivariate linear regression analysis 84
6.3. Multivariate linear regression analysis 89
7. Empiric evidence 93
7.1. Research question & hypothesis 1
7.1.1. Research question & hypothesis 1.1
7.1.2. Research question & hypothesis 1.2
7.2. Research question & hypothesis 2
7.3. Research question & hypothesis 3
Conclusion 97
Bibliography 99
Appendix A: correlation-test details: flow~percentage growth 104
Appendix B: correlation-test details: flow~volatility 105
Appendix C: correlation-test details: flow~Sharpe ratio 106
Appendix D: geographical database coverage: Lipper for Investment Management 107