<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:contributor>Nowak, Eric</dc:contributor>
  <dc:creator>Eisele, Alexander</dc:creator>
  <dc:date>2014-12-17</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">The three chapters of this thesis contribute to the following research questions: (i)  What is the role of agency frictions for the performance of mutual funds? (ii) What is  the role of market frictions for the performance of hedge funds? (iii) Do hedge funds  profit from the behavioral biases of other market participants? The first chapter of this  thesis comprises the article "Are Star Funds really Shining? Cross-trading and  Performance Shifting in Mutual Fund Families", which is joint work with my colleagues  Tamara Nefedova and Gianpaolo Parise. This article exploits institutional trade level  data to study cross-trading activity inside mutual fund families and to answer the  question whether cross-trades are used to smooth or to shift performance inside the  fund family. The second chapter comprises the solo-authored article "Beta Arbitrage  and Hedge Fund Returns". This article finds that a factor capturing the returns of  strategies exploiting the low beta anomaly, i.e. a betting-against-beta factor (BAB), has  significant explanatory power in the time-series and cross-section of hedge fund  returns. The third chapter comprises the solo-authored article " Behavioral Factors in  Risk Arbitrage". In the context of takeovers, the article examines the trading behavior  of investors around a salient reference point, the 52-week high, and its effect on asset  prices. Using a large sample of institutional trade-level data the article documents a  50% increase in institutional investor exit at the announcement date for offer prices  exceeding the 52-week high. The increased selling pressure leads to significant stock  price underreaction and explains a large part of the returns in risk arbitrage.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://susi.usi.ch/global/documents/318755</dc:identifier>
  <dc:identifier>https://localhost:5000/ark:/12658/srd1318755</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/318755/files/2014ECO012.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-113886</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1318755</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>License undefined</dc:rights>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">Hedge funds</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Mutual funds</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Behavioral finance</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Risk arbitrage</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Portfolio management</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Low-Beta anomaly</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns7="xml" ns7:lang="en">Frictions, behavioral biases and active portfolio management</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>