Cross-Asset Information Synergy in Mutual Fund Families / Jun Kyung Auh, Jennie Bai.

Format:

Book

Author/Creator:

Auh, Jun Kyung.

Contributor:

National Bureau of Economic Research.

Bai, Jennie.

Series:

Working Paper Series (National Bureau of Economic Research) no. w26626.

NBER working paper series no. w26626

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2020.

Summary:

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within a mutual fund family exhibit a significant co-movement in holdings of commonly-held firms' equities and bonds. Such cross-holdings facilitate information spillover, manifesting itself in the co-movement. Synthesizing cross-asset information can predict future equity returns and create profits for fund families as well as general investors. Our findings accentuate the importance of collaboration between equity funds and bond funds within fund families.

Notes:

Print version record

January 2020.