Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds

By Eric Zitzewitz. 2003

159 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5865cd908ddab39a3241d5c61045fd1bd27b5c19

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Citations in the corpus

Improved Forecasting of Mutual Fund Alphas and Betas (2007, background): “Papers by Chalmers, Edelen, and Kadlec (2001), Greene and Hodges (2002), Zitzewitz (2003), and Goetzmann, Ivkovic, and Rouwenhorst (2001) all show how investors can exploit stale net asset value prices in a variety of funds.”
Investor monitoring and differences in mutual fund performance (2006, background): “For example, less monitoring may result in smaller funds being exposed to more so called market timing trades or late trading (see Zitzewitz, 2003 ).”
Sequential Markets, Market Power, and Arbitrage (2016, background): “(1)Examples of empirical evidence include treasury auctions (Coutinho, 2013), wine auctions (Ashenfelter, 1989; McAfee and Vincent, 1993), mutual funds (Zitzewitz, 2003), and wholesale electricity markets (Saravia, 2003; Longstaff and Wang, 2004; Borenstein et al.”
Board Structure, Mergers and Shareholder Wealth: A Study of the Mutual Fund Industry (2007, background): “Zitzewitz (2003) examines board structure in conjunction with funds’ decisions to adopt fair value pricing to protect shareholders from market timing.”
Portfolio Manager Ownership and Fund Performance (2007, background): “Zitzewitz (2003) reports that more independent boards are more likely to take action to prevent market timing via the adoption of fair value pricing practices.”
Conditional Return Smoothing in the Hedge Fund Industry (2008, background): “Research in the mutual fund market timing scandal, including studies by Boudoukh et al. (2002) and Zitzewitz (2003), show that inaccurate valuations result in wealth transfers among different investors as they subscribe to or redeem from funds.”
Unobserved Actions of Mutual Funds (2008, unknown): “For example, if a fund’s governance is weak in one period because of stale-price arbitrage (Zitzewitz 2003) or cross-subsidization (Gaspar, Massa, and Matos 2006), it is likely to remain poor in the next period.”
Inefficiencies in the Pricing of Exchange-Traded Funds (2017, unknown): “However, the mutual fund literature has made it clear that this is not the case with some types of funds (e.g., Chalmers, Edelen, and Kadlec (2001), Goetzmann, Ivkovic, and Rouwenhorst (2001), and Zitzewitz (2003)).”
Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins (2012, background): “Zitzewitz (2003) shows that the incidence of stale-pricing in fund complexes is higher for funds with fewer independent directors.”