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

"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."

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Karceski, Jaosn Jospeh

Contributors dc:contributor

• Pennacchi, George G.

• Economics, Theory

Language dc:language

eng

Identifier

(MiAaPQ)AAI9737152

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/87444