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Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families

Nefedova, Tamara; Parise, Gianpaolo; Eisele, Alexander (2015-06), Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families, 32nd International Conference of the French Finance Association - AFFI 2015, 2015-06, Cergy, France

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Type
Communication / Conférence
Date
2015-06
Conference title
32nd International Conference of the French Finance Association - AFFI 2015
Conference date
2015-06
Conference city
Cergy
Conference country
France
Pages
42
Metadata
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Author(s)
Nefedova, Tamara
Dauphine Recherches en Management [DRM]
Parise, Gianpaolo

Eisele, Alexander
University of Lugano
Abstract (EN)
This paper exploits institutional trade level data to study cross-trading activity inside mutual fund families. Cross-trades are opposite trades matched between siblings (i.e., funds belonging to the same fund family) without going to the open market. We find that large fund families with weak governance and high within family size dispersion cross-trade more and are more likely to misprice their cross-trades. Additionally, we find that cross-trades are used to increase the performance of the most valuable siblings (on average by 2.5% per annum) at the expense of the less valuable funds. More restrictive governance policies introduced as a consequence of the late trading scandal were effective in reducing the amount and the mispricing of cross-trades.
Subjects / Keywords
Cross-trading; Performance; Governance; Mutual Fund Families
JEL
G34 - Mergers; Acquisitions; Restructuring; Corporate Governance
L25 - Firm Performance: Size, Diversification, and Scope

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