Abstract

http://ssrn.com/abstract=1362492
 
 

References (43)



 
 

Citations (1)



 


 



Adverse Information and Mutual Fund Runs


Meijun Qian


National University of Singapore

Başak Tanyeri


Bilkent University

August 18, 2011

24th Australasian Finance and Banking Conference 2011 Paper

Abstract:     
This paper is the first one to document that anticipation of adverse events can trigger runs in mutual funds. Using the event of the 2003 and 2004 litigations filed in the U.S. over market-timing and late-trading practices, we find that runs start as early as six months before litigation announcements. The pre-event runs are about half the size of runs that follow announcements, which is about 1% of total assets per month. In addition, investors who run before litigation announcements earn significantly higher risk- and peer-adjusted returns than those who run after because, as the return data on fund holdings show, because the former avoid fire-sale costs. In funds holding illiquid assets or funds incurring large outflows, the cumulative differences in abnormal returns can be as high as 6%. Hence, our analysis suggests that a pro-rata ownership design is not sufficient to prevent runs in mutual funds.

Number of Pages in PDF File: 41

Keywords: Silent runs, adverse event, mutual fund flows, returns

JEL Classification: G23, G14

working papers series


Download This Paper

Date posted: March 20, 2009 ; Last revised: August 28, 2011

Suggested Citation

Qian, Meijun and Tanyeri, Başak, Adverse Information and Mutual Fund Runs (August 18, 2011). 24th Australasian Finance and Banking Conference 2011 Paper. Available at SSRN: http://ssrn.com/abstract=1362492 or http://dx.doi.org/10.2139/ssrn.1362492

Contact Information

Meijun Qian (Contact Author)
National University of Singapore ( email )
1 Business Link
Singapore, 117592
Singapore
Başak Tanyeri
Bilkent University ( email )
06533 Bilkent, Ankara
Turkey
903122901871 (Phone)
HOME PAGE: http://www.bilkent.edu.tr/~basak
Feedback to SSRN


Paper statistics
Abstract Views: 1,011
Downloads: 121
Download Rank: 110,832
References:  43
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.422 seconds