TAILIEUCHUNG - A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization

Though some pension funds – mostly larger, more sophisticated investors - are able to invest at the riskier end of the spectrum (. in start-up, venture capital type projects focusing on clean tech and other innovations), this will only ever constitute a small percentage of their portfolios. The broad mass of pension funds will be more interested in lower risk investments (. in deployable renewables etc.), which provide a steady, inflation adjusted, income stream – particularly where investment or solvency regulations require a relatively conservative approach to investment. Pension fund assets can therefore be expected to be directed more. | A Theory of Mutual Funds Optimal Fund Objectives and Industry Organization by Harry Mamayskyf and Matthew Spiegef January 16 2002 Comments Welcome fYale School of Management . Box 208200 New Haven CT 06520-8200. Phone 203-436-0649 Fax 203-4360630 email web page http hm68. ỊYale School of Management . Box 208200 New Haven CT 06520-8200. Phone 203-432-6017 Fax 203-4328931 email web page http spiegel. For helpful discussions and comments we thank Utpal Bhattacharya Judy Chevalier Simon Gervais Larry Glosten A. Subrahmanyam and seminar participants at Babson College Cornell University Duke University Rutgers University Tuck School of Management University of Connecticut the 2001 CEPR JFI Symposium at INSEAD 2001 European Finance Association Meetings New York University Five Star Conference and the 2001 Cowles Foundation Conference on Missing Financial Markets at Yale University. A Theory of Mutual Funds Optimal Fund Objectives and Industry Organization Abstract This paper presents a model in which investors cannot remain in the market to trade at all times. As a result they have an incentive to set up trading firms or financial market intermediaries FMI s to take over their portfolio while they engage in other activities. Previous research has assumed that such firms act like individuals endowed with a utility function. Here they are firms that simply take orders from their investors. From this setting emerges a theory of mutual funds and other FMI s such as investment houses banks and insurance companies with implications for their trading styles as well as for their effect on asset prices. The model provides theoretical support for past empirical findings and provides new empirical predictions some of which are tested in this paper. JEL Classification G12 G20 Banks investment houses and mutual funds have in recent years created a wide array of vehicles that trade on behalf of investors.

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