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International Fund Managers' Viewpoints, Perception and Investment Behavior: Empirical Evidence

Lütje, Torben

Studien zur Kredit- und Finanzwirtschaft / Studies in Credit and Finance, Vol. 179

(2005)

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Abstract

Während institutionelle Investoren in stetig wachsenden Finanzmärkten seit Jahren unaufhaltsam an Bedeutung gewinnen, ist die Vorgehensweise dieser Marktakteure - insbesondere die der einflussreichen Untergruppe der Fondsmanager - bislang relativ unerforscht. Um diese Lücke zu schließen, beleuchtet Torben Lütje die Sichtweisen, die Wahrnehmung und das Anlageverhalten der Fondsmanager in den Vereinigten Staaten, in Deutschland sowie in der Schweiz mittels einer schriftlichen Befragung. Die Untersuchung bestätigt nicht nur vorherige empirische Ergebnisse, sondern liefert auch eine Vielzahl neuer Erkenntnisse über das Anlageverhalten von Fondsmanagern. Es zeigt sich, dass sie die Effizienz der Finanzmärkte dahingehend in Frage stellen, dass sie nicht nur verzerrtes Anlageverhalten am Markt wahrnehmen, sondern auch selbst Phänomenen wie beispielsweise einem Herdenverhalten und einer Heimatverzerrung in der Asset Allokation zumindest teilweise unterliegen.

Table of Contents

Section Title Page Action Price
Table of contents 11
1. Introduction 15
1.1 Motivation and contribution of this dissertation 15
1.2 Outline 17
1.3 Questionnaire 19
2. Fund managers in Germany: What do they think and what do they do? 25
2.1 Introduction 25
2.2 Data 27
2.3 What do fund managers think about their colleagues’ investment behavior? 28
2.4 What do fund managers say about their own behavior? 31
2.4.1 Incentives 31
2.4.2 Information 32
2.4.3 Decisions 34
2.5 What characterizes fund managers from the academic point of view? 36
2.5.1 Herding 37
2.5.2 Non-fundamental information 38
2.5.3 Investment strategies 40
2.5.4 Home bias 41
2.6 Conclusions 43
3. To be good or to be better: Asset managers’ attitudes towards herding 45
3.1 Introduction 45
3.2 Survey methodology and design 47
3.3 Survey findings on reputational herding 48
3.4 Herding managers' working effort, preferred information and time horizon 51
3.4.1 Herd behavior and working effort 51
3.4.2 Herd behavior and use of information 52
3.4.3 Herd behavior and investment horizon 54
3.5 Herding managers' risk taking behavior 55
3.5.1 Herd behavior and risk aversion 55
3.5.2 Herd behavior and biased risk-taking behavior 56
3.5.2.1 Loss aversion 56
3.5.2.2 Disposition effect 58
3.5.3 Herd behavior in the tournament 59
3.6 Conclusions 64
4. Stock price momentum: An already explained phenomenon? 66
4.1 Introduction 66
4.2 Preferred technical strategies – momentum versus contrarian 67
4.3 Selection criteria for successful momentum strategies 68
4.4 Explanatory approaches of stock price momentum 69
4.4.1 Behavioral approaches 69
4.4.2 Year end effects as momentum explanation 72
4.4.3 Momentum explanations consistent with traditional theory 73
4.4.4 Other explanations of momentum 75
4.5 Conclusions 76
5. Incentives and fund managers’ behavior: Trans-atlantic evidence 78
5.1 Introduction 78
5.2 Incentives in the fund management industry 80
5.3 Data 81
5.3.1 Questionnaire design and pretests 81
5.3.2 Participation rate and responses 82
5.4 Description of fund managers' bonus payments in three countries 86
5.5 Institutional correlates of high bonus payments 87
5.6 Bonus and working effort 90
5.7 Bonus and risk-taking 93
5.8 Bonus and opportunistic behavior 97
5.9 Conclusions 102
6. What drives home bias? Evidence from fund managers' views 104
6.1 Introduction 104
6.2 Data 106
6.3 Survey findings on literature hypotheses 107
6.3.1 The existence of home bias 107
6.3.2 Suggested relations of home bias 109
6.4 Survey findings on further relations 112
6.4.1 Relations of home bias with institutional characteristics 112
6.4.2 Relations of home bias with informational characteristics 114
6.4.3 Relations of home bias with behavioral characteristics 115
6.5 The relative importance of home bias' driving forces 118
6.5.1 Statistical analyses of driving forces 118
6.5.2 A qualitative discussion of driving forces 119
6.6 Conclusions 121
Summary 124
Résumé 126
Zusammenfassung 128
References 130
Index 139