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...
Saved in:
Main Author: | |
---|---|
Other Authors: | |
Format: | Article |
Language: | English |
Published: |
2022
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/161279 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
id |
sg-ntu-dr.10356-161279 |
---|---|
record_format |
dspace |
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 |
_version_ |
1772827328106201088 |