2nd Quarter (2005)

Vol. 3, No. 2, Second Quarter 2005 by: Aigbe Akhigbe, Jeff Madura and Alan Tucker< This study investigates the motives for open-ending closed-end funds, and performance of closed-end funds following open-ending announcements. We find that the propensity to open end is higher for funds that are larger, have high expense ratios, exhibit high volatility, and… Read more

Meir Statman and Jonathan Scheid Correlations between the returns of US stocks and international stocks were higher recently than in the past, reaching 0.86 during the 60 months ending in December 2003. Today’s investors note the high correlations between US and international stocks and doubt the benefits of global diversification. We argue that the benefits… Read more

Matthew R. Morey We examine the effect that an initial 5-starMorningstar mutual fund rating has on future fund performance, strategy, risk-taking, expenses, and portfolio turnover. Using a sample of diversified domestic equity funds from the 1990s we find that during the 3 years after a fund received its initial 5-star rating, fund performance severely falls… Read more

Patrick de Fontnouvelle, Raymond P. H. Fishe and Jeffrey H. Harris A significant competition for order flow in options markets occurred in August 1999. Before the competition, the majority of option volume arose from exclusive listings. By the end of September 1999, entry by existing option exchanges had shifted the majority of option volume to… Read more

Ronald T. Wilcox This paper presents a management decision model for setting mutual fund fees. The model pairs information obtained from a conjoint analysis, designed to uncover investors’ preferences for different fee structures, with information on the expected revenue generated from various fee structures to suggest a set of “efficient” fees to mutual fund managers… Read more