The missing new funds

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 C...

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Main Author: Zhu, Qifei
Other Authors: Nanyang Business School
Format: Article
Language:English
Published: 2022
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Online Access:https://hdl.handle.net/10356/161279
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1612792023-05-19T07:31:16Z The missing new funds Zhu, Qifei Nanyang Business School Business::Finance Mutual Funds Holding Data Selection Bias 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. 2022-08-23T07:26:27Z 2022-08-23T07:26:27Z 2020 Journal Article Zhu, Q. (2020). The missing new funds. Management Science, 66(3), 1193-1204. https://dx.doi.org/10.1287/mnsc.2019.3454 0025-1909 https://hdl.handle.net/10356/161279 10.1287/mnsc.2019.3454 2-s2.0-85081122690 3 66 1193 1204 en Management Science © 2020 INFORMS. All rights reserved.
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Business::Finance
Mutual Funds Holding Data
Selection Bias
spellingShingle Business::Finance
Mutual Funds Holding Data
Selection Bias
Zhu, Qifei
The missing new funds
description 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.
author2 Nanyang Business School
author_facet Nanyang Business School
Zhu, Qifei
format Article
author Zhu, Qifei
author_sort Zhu, Qifei
title The missing new funds
title_short The missing new funds
title_full The missing new funds
title_fullStr The missing new funds
title_full_unstemmed The missing new funds
title_sort missing new funds
publishDate 2022
url https://hdl.handle.net/10356/161279
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