Cross-Asset Information Synergy in Mutual Fund Families

51 Pages Posted: 2 May 2018 Last revised: 6 Nov 2018

See all articles by Jun Kyung Auh

Jun Kyung Auh

Georgetown University - Department of Finance

Jennie Bai

Georgetown University - Department of Finance

Date Written: October 31, 2018

Abstract

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset frictions regarding asset market segmentation. We find that equity funds and corporate bond funds linked within a mutual fund family (sister funds) exhibit a significant co-movement in holdings of commonly-held firms’ equities and bonds. In contrast, we do not find such a pattern for funds in different families. We show that the holding co-movement is driven by information sharing among sister funds, and such funds make more profit-enhancing investment decisions on common holdings, compared to stand-alone funds. Our findings suggest that collaboration between equity funds and bond funds improves fund performance.

Keywords: mutual fund families, equity fund, bond fund, information synergy

JEL Classification: G11, G20, G23, G31

Suggested Citation

Auh, Jun Kyung and Bai, Jennie, Cross-Asset Information Synergy in Mutual Fund Families (October 31, 2018). Georgetown McDonough School of Business Research Paper No. 3163135. Available at SSRN: https://ssrn.com/abstract=3163135 or http://dx.doi.org/10.2139/ssrn.3163135

Jun Kyung Auh (Contact Author)

Georgetown University - Department of Finance ( email )

3700 O Street, NW
Washington, DC 20057
United States

Jennie Bai

Georgetown University - Department of Finance ( email )

3700 O Street, NW
Washington, DC 20057
United States

HOME PAGE: http://www.jenniebai.com

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