全球智库信息集成服务系统(G2TT): Cross-Asset Information Synergy in Mutual Fund Families

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w26626
来源ID	Working Paper 26626
	Cross-Asset Information Synergy in Mutual Fund Families
	Jun Kyung Auh; Jennie Bai
发表日期	2020-01-06
出版年	2020
语种	英语
摘要	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.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Corporate Finance
URL	https://www.nber.org/papers/w26626
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/584299
推荐引用方式 GB/T 7714	Jun Kyung Auh,Jennie Bai. Cross-Asset Information Synergy in Mutual Fund Families. 2020.