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dc.contributor.authorZheng, Xinrui
dc.date.accessioned2021-12-11T03:07:53Z
dc.date.available2021-12-11T03:07:53Z
dc.date.submitted2021-09-29
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/331353
dc.description.abstractThis dissertation consists of three essays related to fund management, and in particular, mutual funds (MFs) and exchange-traded funds (ETFs). The first essay studies the decision by an asset manager to launch an exchange-traded fund (ETF). Fund families focus on both revenue generation and cost reduction when making launching decisions, with new ETF launches being driven more by investor demand than past performance. The ETF industry exhibits significant economies of scale and scope, allowing larger families to benefit from specialization while giving smaller families pressure to expand their product line. Competitors tend to follow the asset allocation decisions of the three largest ETF providers, unless when it comes to less liquid or highly concentrated objective markets. Finally, a time-to-event analysis shows that an ETF survives for longer if launched by fund families with larger size and higher fees, and whose initiation is not driven by excessive flows into the family. The second essay studies the effects of managerial turnover and competition on U.S. sub-advised mutual funds (MFs), using changes of subadvisor by 426 funds from January 1995 to December 2016. Sub-advised MFs make turnover decisions based on return-chasing behavior, but these changes neither improve subsequent fund returns and risk measures, nor increase future flows into the fund. Using sub-advisor turnover to change the degree of competition among sub-advisors does not affect the performance of incumbent sub-advisors. Overall, there is no evidence that sub-advisor selection decisions by fund families benefit sub-advised MF's performance. Outperforming sub-advisors with larger style drift are less likely to be hired, and the more a sub-advisor deviates from its investment mandate, the more likely it is to be fired. The third essay uses 2,290 European equity and fixed income ETFs and studies how the replication method affects the tracking efficiencies of ETFs, especially during market crises. Throughout the 20-year sample period 2001 to 2020, there is no persistent evidence suggesting superior tracking performance of synthetic ETFs. I identify 119 benchmarks followed by both physical and synthetic ETFs simultaneously and conduct a difference-in-difference analysis around Lehman Brothers bankruptcy, sovereign debt crisis and COVID-19 outbreak. Synthetic ETFs face steeper declines in tracking efficiencies following a sudden increase in counterparty risk, while they are shielded from liquidity shocks. There is a remarkable drop in tracking performance sensitivity to market distress post the global financial crisis.
dc.description.sponsorshipCambridge Endowment for Research in Finance; Cambridge Judge Business School
dc.rightsAll Rights Reserved
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/
dc.subjectAsset Management
dc.subjectMFs
dc.subjectETFs
dc.titleEssays in Asset Management: Mutual Funds and Exchange-traded Funds
dc.typeThesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnameDoctor of Philosophy (PhD)
dc.publisher.institutionUniversity of Cambridge
dc.date.updated2021-12-09T12:42:12Z
dc.identifier.doi10.17863/CAM.78801
rioxxterms.licenseref.urihttps://www.rioxx.net/licenses/all-rights-reserved/
rioxxterms.typeThesis
dc.publisher.collegeTrinity
cam.supervisorSaffi, Pedro
cam.supervisorChambers, David
cam.supervisor.orcidSaffi, Pedro [0000-0002-3347-6801]
cam.depositDate2021-12-09
pubs.licence-identifierapollo-deposit-licence-2-1
pubs.licence-display-nameApollo Repository Deposit Licence Agreement


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