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Essays On Performance Evaluation Of Portfolio Managers Of Mutual And Hedge Funds, Yuekun Liu Aug 2022

Essays On Performance Evaluation Of Portfolio Managers Of Mutual And Hedge Funds, Yuekun Liu

Graduate Theses and Dissertations

This dissertation consists of three essays focusing on the performance evaluation of portfolio managers of mutual and hedge funds. The first essay shows the performance of corporate bond mutual funds tends to be estimated using models with limited empirical validation. I test several models and find considerable variation in quality. That variation leads to meaningful differences with respect to the stylized facts of corporate bond fund performance. Using my preferred BENCH4 model—a novel model based on funds’ common benchmarks—I find average underperformance, substantial relative performance persistence, a small number of funds with positive alphas unattributable to luck, and positive alphas …


Three Essays On Political Contributions And Firm Performance, Ankita Damani Aug 2022

Three Essays On Political Contributions And Firm Performance, Ankita Damani

Finance and Real Estate Dissertations

The interaction of politics with financial markets and the macroeconomy has received increasing attention in recent years. Extant literature identifies the significant impact of political connections on firm value. However, several questions in this area remain unanswered. My dissertation consists of three essays. In the first essay, I examine the impact of economic policy uncertainty (EPU) on total campaign contributions and the relative contributions to Republicans and Democrats. I find that the total Political Action Committee (PAC) contributions by firms increase following an increase in EPU. This is also true for the contributions to each major political party, i.e., Republicans …


Three Essays On International Mutual Fund Flows, Anh Tuan Nguyen Aug 2022

Three Essays On International Mutual Fund Flows, Anh Tuan Nguyen

Finance and Real Estate Dissertations

In this dissertation, I investigate the comprehensive relationship of international mutual fund flows among markets. While my first essay presents the unprecedent findings of commonality in mutual fund flows and global market integration, my second essay focuses on answering the classic question in financial market: is there any contagion in the market for asset management? In the third essay, I examine the intransitivity puzzle presented in the first essay. In the first essay, I examine global integration in the market for asset management, as indicated by the correlation of mutual fund flows across domiciles. I observe no leading role for …