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
TypeCommunication / Conférence
Conference title32nd International Conference of the French Finance Association - AFFI 2015
MetadataShow full item record
Dauphine Recherches en Management [DRM]
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 / KeywordsCross-trading; Performance; Governance; Mutual Fund Families
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