{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/87444"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/87444","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Essay 1. The Risk and Return From Factors. Essay 2. Forecasting Covariances for Portfolio Optimization. Essay 3. An Agency Explanation of the Book-to-Market Effect","abstract":"\"The last essay, \"\"An Agency Explanation of the Book-to-Market Effect,\"\" presents an equilibrium agency model whereby the presence of the mutual fund industry creates the book-to-market effect. The model relies on four critical assumptions. The first two of these (that active fund managers wish to maximize total expected assets under management and that the cross-sectional flow-performance relation in the mutual fund industry gives rise to a tournament effect regarding subsequent cash flows into mutual funds) are generally accepted as fact. The last two assumptions (that glamour stocks tend to outperform value stocks in up-market periods and that the time-series flow-performance relation in the mutual fund industry is indicative of positive feedback trading on the part of mutual fund investors) are either disputed or less well-known. Consequently, this paper presents empirical evidence supporting these latter assumptions.\"","abstract_html":""The last essay, ""An Agency Explanation of the Book-to-Market Effect,"" presents an equilibrium agency model whereby the presence of the mutual fund industry creates the book-to-market effect. The model relies on four critical assumptions. The first two of these (that active fund managers wish to maximize total expected assets under management and that the cross-sectional flow-performance relation in the mutual fund industry gives rise to a tournament effect regarding subsequent cash flows into mutual funds) are generally accepted as fact. The last two assumptions (that glamour stocks tend to outperform value stocks in up-market periods and that the time-series flow-performance relation in the mutual fund industry is indicative of positive feedback trading on the part of mutual fund investors) are either disputed or less well-known. Consequently, this paper presents empirical evidence supporting these latter assumptions."","abstract_has_math":false,"creators":["Karceski, Jaosn Jospeh"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Finance","degree_department":null,"school":null,"contributors":["Pennacchi, George G."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-09-28T16:03:17Z","date_published":"2015-09-28T16:03:17Z","updated_at":"2026-07-22T22:26:30Z","subjects":["Economics, Theory"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(MiAaPQ)AAI9737152"],"render_values":[{"text":"(MiAaPQ)AAI9737152","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/87444","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Pennacchi, George G."]},{"key":"dc:creator","label":"Author","values":["Karceski, Jaosn Jospeh"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2015-09-28T16:03:17Z","10000-01-01","1997"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Finance"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Theory"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/87444","(MiAaPQ)AAI9737152"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["\"The last essay, \"\"An Agency Explanation of the Book-to-Market Effect,\"\" presents an equilibrium agency model whereby the presence of the mutual fund industry creates the book-to-market effect. The model relies on four critical assumptions. The first two of these (that active fund managers wish to maximize total expected assets under management and that the cross-sectional flow-performance relation in the mutual fund industry gives rise to a tournament effect regarding subsequent cash flows into mutual funds) are generally accepted as fact. The last two assumptions (that glamour stocks tend to outperform value stocks in up-market periods and that the time-series flow-performance relation in the mutual fund industry is indicative of positive feedback trading on the part of mutual fund investors) are either disputed or less well-known. Consequently, this paper presents empirical evidence supporting these latter assumptions.\"","Made available in DSpace on 2015-09-28T16:03:17Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 9737152.pdf: 8085382 bytes, checksum: 4a025d8b1c297711f8d3fbeb83ef17c6 (MD5) Previous issue date: 1997","Embargo set by: Seth Robbins for item 88725 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","U of I Only","159 p.","Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1997."]},{"key":"dc:title","label":"Title","values":["Essay 1. The Risk and Return From Factors. Essay 2. Forecasting Covariances for Portfolio Optimization. Essay 3. An Agency Explanation of the Book-to-Market Effect"]}]}],"canonical_facts":{"dc:contributor":["Pennacchi, George G."],"dc:creator":["Karceski, Jaosn Jospeh"],"dc:date":["2015-09-28T16:03:17Z","10000-01-01","1997"],"dc:description":["\"The last essay, \"\"An Agency Explanation of the Book-to-Market Effect,\"\" presents an equilibrium agency model whereby the presence of the mutual fund industry creates the book-to-market effect. The model relies on four critical assumptions. The first two of these (that active fund managers wish to maximize total expected assets under management and that the cross-sectional flow-performance relation in the mutual fund industry gives rise to a tournament effect regarding subsequent cash flows into mutual funds) are generally accepted as fact. The last two assumptions (that glamour stocks tend to outperform value stocks in up-market periods and that the time-series flow-performance relation in the mutual fund industry is indicative of positive feedback trading on the part of mutual fund investors) are either disputed or less well-known. Consequently, this paper presents empirical evidence supporting these latter assumptions.\"","Made available in DSpace on 2015-09-28T16:03:17Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 9737152.pdf: 8085382 bytes, checksum: 4a025d8b1c297711f8d3fbeb83ef17c6 (MD5) Previous issue date: 1997","Embargo set by: Seth Robbins for item 88725 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs","U of I Only","159 p.","Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1997."],"dc:identifier":["http://hdl.handle.net/2142/87444","(MiAaPQ)AAI9737152"],"dc:language":["eng"],"dc:subject":["Economics, Theory"],"dc:title":["Essay 1. The Risk and Return From Factors. Essay 2. Forecasting Covariances for Portfolio Optimization. Essay 3. An Agency Explanation of the Book-to-Market Effect"],"dc:type":["text"],"thesis:degree_discipline":["Finance"],"thesis:degree_level":["Dissertation"],"thesis:degree_name":["Ph.D."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:26:30Z"}