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Are Star Funds Really Shining? Cross‐trading and Performance Shifting in Mutual Fund Families

Eisele, Alexander; Nefedova, Tamara; Parise, Gianpaolo (2017), Are Star Funds Really Shining? Cross‐trading and Performance Shifting in Mutual Fund Families, 9th Annual Hedge Fund and Private Equity Research Conference, 2017-01, Paris, France

Type
Communication / Conférence
Date
2017
Conference title
9th Annual Hedge Fund and Private Equity Research Conference
Conference date
2017-01
Conference city
Paris
Conference country
France
Metadata
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Author(s)
Eisele, Alexander
Nefedova, Tamara
Dauphine Recherches en Management [DRM]
Parise, Gianpaolo
Abstract (EN)
We employ transaction data to examine trades among funds affiliated to the same institution.We show that such cross-trades exhibit an average mispricing of 0.18% compared to openmarket trades. This deviation is greater during times of high financial uncertainty, when theexchanged stocks are illiquid and highly volatile, and when the asset manager has weakgovernance and large internal markets. We use an exogenous increase in regulatory scrutinyto establish causality. Our results are consistent with theoretical models of internal capitalmarkets in which the headquarters actively favors its “stars” at the expense of its leastvaluable units.

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