A new look at mutual fund tournament hypothesis using spatial modeling

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Tezin Türü: Doktora

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2015

Öğrenci: SEVGİ EDA TUZCU

Danışman: ZEHRA NURAY GÜNER

Özet:

Literature indicates that mutual fund investors react strongly to prior fund performance, though this reaction is not symmetric. Many papers suggest that this relation creates incentives for fund managers to change the portfolio risk towards the end of the year in order to be placed among the winners. Contrary findings, on the other hand, highlight the importance of cross correlation and auto correlation in the fund flow data, which may bias the results. Hence, this study investigates the existence of this incentive creating convex association for Turkish mutual fund industry with spatial modeling techniques. I account for the spatial dependence among mutual funds.