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Working Paper
Crisis, contagion, and country funds: effects on East Asia and Latin America
Schmukler, Sergio L.; Frankel, Jeffrey A. (1996)
Spillovers effects, from one country or region to other countries and regions, have attracted renewed attention in the aftermath of the Mexican crisis of December 1994. This paper uses data on closed-end country funds to study how a negative shock in Mexican equities is transmitted to Asia and Latin America, and to particular countries within each region. Country funds allow us to study the transmission to other fund net asset values (NAVs) and prices, which are traded in local stock markets in New York, respectively. The evidence indicates that shocks such as the Mexican crisis produce ...
Pacific Basin Working Paper Series , Paper 96-04

Working Paper
Measuring the Liquidity Profile of Mutual Funds
Zer, Ilknur; Scotti, Chiara; Aramonte, Sirio (2019-07)
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises about the state of the economy and after three relevant market events: Bill Gross's departure from PIMCO, Third Avenue Focused Credit Fund's suspension of redemptions, and the effect of Lehman Brothers' collapse on Neuberger Berman. Results show that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, ...
Finance and Economics Discussion Series , Paper 2019-055

Speech
Fixing wholesale funding to build a more stable financial system
Dudley, William (2013-02-01)
Remarks at the New York Bankers Association's 2013 Annual Meeting & Economic Forum, The Waldorf Astoria, New York City.
Speech

Working Paper
Differential Treatment in the Bond Market: Sovereign Risk and Mutual Fund Portfolios
Converse, Nathan L.; Mallucci, Enrico (2019-10-18)
How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not fully compensate investors for additional sovereign risk, so that bond funds reduce their exposure to a country's assets when its sovereign default risk increases. However, the magnitude of the response varies widely across countries. Fund managers aggressively reduce their exposure to high-debt ...
International Finance Discussion Papers , Paper 1261

Journal Article
Market returns and mutual fund flows
Remolona, Eli M.; Kleiman, Paul; Gruenstein, Debbie (1997-07)
With the increased popularity of mutual funds come increased concerns. Namely, could a sharp drop in stock and bond prices set off a cascade of redemptions by mutual fund investors and could the redemptions exert further downward pressure on asset markets? The authors analyze this relationship by using instrumental variables--a measuring technique previously unapplied to market returns and mutual fund flows--to determine the effect of returns on flows. Despite market observers' fears of a downward spiral in asset prices, the authors conclude that the short-term effect of market returns on ...
Economic Policy Review , Volume 3 , Issue Jul , Pages 33-52

Journal Article
An alternative monetary aggregate: M2 plus household holdings of bond and equity mutual funds
Edwards, Cheryl L.; Collins, Sean (1994-11)
Review , Issue Nov

Journal Article
Portfolio advice of a multifactor world
Cochrane, John H. (1999-07)
How does traditional portfolio theory adapt to the new facts? The old "two-fund" theorem becomes a "many-fund" theorem; some investors can improve returns by investing in portfolio strategies that let them take on nonmarket sources of risk; and other investors can shed nonmarket risks in the same way. Investors can, if willing to take on risks, improve returns by some modest market timing. However, the average investor must always hold the market, so only investors who are different from average can benefit from holding new and unusual portfolios
Economic Perspectives , Volume 23 , Issue Q III

Journal Article
Recission of staff interpretative letter
anonymous (1996-10)
Federal Reserve Bulletin , Issue Oct , Pages 907-908

Working Paper
Compensation incentives and risk taking behavior: evidence from mutual funds
Orphanides, Athanasios (1996)
This paper examines the role of compensation contracts in determining risk taking decisions by money managers in the financial industry. A methodology is developed for empirically testing and assessing the magnitude of the effect that incentive contracts have on risk taking in the mutual fund industry using paneldata. The methodology exploits the within-year cross sectional variation in the performance of mutual funds to identify systematic time series variation in risk taking. Growth and growth and income mutual funds in the 1976 to 1993 period are examined. The evidence suggests that ...
Finance and Economics Discussion Series , Paper 96-21

Report
A contingent claim approach to performance evaluation
Jagannathan, Ravi; Glosten, Lawrence R. (1993)
We show that valuing performance is equivalent to valuing a particular contingent claim on an index portfolio. In general the form of the contingent claim is not known and must be estimated. We suggest approximating the contingent claim by a series of options. We illustrate the use of our method by evaluating the performance of 130 mutual funds during the period 1968?82. We find that the relative performance rank of a fund is rather insensitive to the choice of the index, even though the actual value of the services of the portfolio manager depends on the choice of the index.
Staff Report , Paper 159

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