Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/161279
Title: The missing new funds
Authors: Zhu, Qifei
Keywords: Business::Finance
Issue Date: 2020
Source: Zhu, Q. (2020). The missing new funds. Management Science, 66(3), 1193-1204. https://dx.doi.org/10.1287/mnsc.2019.3454
Journal: Management Science
Abstract: Many papers in the mutual fund literature rely on a sample that matches the Center for Research in Security Prices (CRSP) mutual fund database with the fund holdings data from Thomson Reuters (TR) s12 database. I document that about 58% of newly founded U.S. equity mutual fund share classes in the CRSP mutual fund database from 2008 to 2015 cannot be matched to the TR database. Funds that are missing from the TR database tend to be smaller, have higher turnover ratios, receive higher fund flows, and have higher four-factor alphas. These differences are robust within same cohorts of funds. Index funds and exchange-traded funds are more likely to be omitted than actively managed funds.
URI: https://hdl.handle.net/10356/161279
ISSN: 0025-1909
DOI: 10.1287/mnsc.2019.3454
Schools: Nanyang Business School 
Rights: © 2020 INFORMS. All rights reserved.
Fulltext Permission: none
Fulltext Availability: No Fulltext
Appears in Collections:NBS Journal Articles

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