Litigation and mutual-fund runs
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We investigate whether anticipation of adverse events (litigation about market timing and late trading) may trigger mutual-fund runs. We find that runs start as early as three months prior to litigation announcements. Pre-litigation runs accumulate to 31 basis points of the total net assets over a three-month window; post-litigation runs may last more than six months and accumulate to 1.25 percent over the first three-month window. Additionally, investors who run before litigation announcements...[Show more]
dc.contributor.author | Qian, Meijun | |
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dc.contributor.author | Basak, Tanyeri | |
dc.date.accessioned | 2021-08-02T00:28:00Z | |
dc.identifier.issn | 1572-3089 | |
dc.identifier.uri | http://hdl.handle.net/1885/242577 | |
dc.description.abstract | We investigate whether anticipation of adverse events (litigation about market timing and late trading) may trigger mutual-fund runs. We find that runs start as early as three months prior to litigation announcements. Pre-litigation runs accumulate to 31 basis points of the total net assets over a three-month window; post-litigation runs may last more than six months and accumulate to 1.25 percent over the first three-month window. Additionally, investors who run before litigation announcements earn significantly higher risk-adjusted and peer-adjusted returns than those who run after litigation. The difference in returns is particularly pronounced for funds holding illiquid assets. Finally, securities held by litigated fund families significantly underperform vis-á-vis other securities in terms of lower abnormal returns and liquidity. Our analysis suggests that a pro-rata ownership design is insufficient to prevent mutual-fund runs. | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_AU | |
dc.publisher | Elsevier | |
dc.rights | © 2017 Elsevier B.V | |
dc.source | Journal of Financial Stability | |
dc.subject | Mutual-fund flows | |
dc.subject | Litigation | |
dc.subject | Returns | |
dc.title | Litigation and mutual-fund runs | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 31 | |
dc.date.issued | 2017 | |
local.identifier.absfor | 150205 - Investment and Risk Management | |
local.identifier.absfor | 150201 - Finance | |
local.identifier.absfor | 180123 - Litigation, Adjudication and Dispute Resolution | |
local.identifier.ariespublication | a383154xPUB7493 | |
local.publisher.url | https://www.elsevier.com/en-au | |
local.type.status | Published Version | |
local.contributor.affiliation | Qian, Meijun, College of Business and Economics, ANU | |
local.contributor.affiliation | Basak, Tanyeri, Bilkent University | |
local.description.embargo | 2099-12-31 | |
local.bibliographicCitation.startpage | 119 | |
local.bibliographicCitation.lastpage | 135 | |
local.identifier.doi | 10.1016/j.jfs.2017.05.011 | |
dc.date.updated | 2020-11-23T10:45:44Z | |
local.identifier.scopusID | 2-s2.0-85025072044 | |
Collections | ANU Research Publications |
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