Cross-Asset Information Synergy in Mutual Fund Families

56 Pages Posted: 6 Jan 2020 Last revised: 3 Apr 2022

See all articles by Jun Kyung Auh

Jun Kyung Auh

Yonsei University - School of Business

Jennie Bai

Georgetown University - McDonough School of Business; National Bureau of Economic Research (NBER)

Date Written: January 2020

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.

Suggested Citation

Kyung Auh, Jun and Bai, Jennie, Cross-Asset Information Synergy in Mutual Fund Families (January 2020). NBER Working Paper No. w26626, Available at SSRN: https://ssrn.com/abstract=3514366

Jun Kyung Auh (Contact Author)

Yonsei University - School of Business ( email )

50 Yonsei-ro, Seodaemun-gu
Seoul, 120-749
Korea, Republic of (South Korea)

Jennie Bai

Georgetown University - McDonough School of Business ( 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

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