Cross-Asset Information Synergy in Mutual Fund Families

56 Pages Posted: 2 May 2018 Last revised: 24 Dec 2019

See all articles by Jun Kyung Auh

Jun Kyung Auh

Georgetown University - Department of Finance

Jennie Bai

Georgetown University - Department of Finance; National Bureau of Economic Research (NBER)

Date Written: December 1, 2019

Abstract

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within a mutual fund family exhibit a significant co-movement in holdings of commonly-held firms' equities and bonds. Such cross-holdings facilitate information spillover, manifesting itself in the co-movement. Synthesizing cross-asset information can predict future equity returns and create profits for fund families as well as general investors. Our findings accentuate the importance of collaboration between equity funds and bond funds within fund families.

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 (December 1, 2019). 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

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
201
Abstract Views
999
rank
155,823
PlumX Metrics