Abstract

http://ssrn.com/abstract=380540
 
 

References (18)



 
 

Citations (2)



 


 



Market Efficiency and Money Market Fund Portfolio Managers: Beliefs Versus Reality


Ramon P. DeGennaro


University of Tennessee, Knoxville - Department of Finance

Dale L. Domian


York University - School of Administrative Studies



Abstract:     
This paper develops two models of the money market
mutual fund maturity decision. The first assumes that
markets are efficient but that transactions are costly. The
second model relies on a survey of fund managers to select
variables that might permit exploiting perceived
profit opportunities. Empirical tests provide strong support
for the former model, but none for the latter. This
can be interpreted as meaning that although managers
may believe that financial markets are inefficient, margins
are too small and competition too fierce for them to
act aggressively on those beliefs. Any actions they do
take to exploit alleged inefficiencies are not detectable in
the data. In addition, the study finds that managers in
the aggregate have no special ability to adjust their funds'
maturity to capitalize on interest-rate changes.

Number of Pages in PDF File: 27

JEL Classification: G1, G2, G0, E4, D4, C5

working papers series


Download This Paper

Date posted: February 26, 2003  

Suggested Citation

DeGennaro, Ramon P. and Domian, Dale L., Market Efficiency and Money Market Fund Portfolio Managers: Beliefs Versus Reality. Available at SSRN: http://ssrn.com/abstract=380540 or http://dx.doi.org/10.2139/ssrn.380540

Contact Information

Ramon P. DeGennaro (Contact Author)
University of Tennessee, Knoxville - Department of Finance ( email )
423 Stokely Management Center
Knoxville, TN 37996
United States
865-974-1726 (Phone)
865-974-1716 (Fax)
Dale L. Domian
York University - School of Administrative Studies ( email )
Toronto, Ontario M3J 1P3
Canada
416-736-2100, x20009 (Phone)
416-736-5963 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 1,490
Downloads: 276
Download Rank: 62,471
References:  18
Citations:  2

© 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 0.359 seconds