Demand Curves and the Pricing of Money Management
- 1 October 2002
- journal article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 15 (5), 1499-1524
- https://doi.org/10.1093/rfs/15.5.1499
Abstract
One reason why funds charge different prices to their investors is that they face different demand curves. One source of differentiation is asset retention: Performance-sensitive investors migrate from worse to better prospects, taking their performance sensitivity with them. In the cross-section we show that past attrition significantly influences the current pricing of retail but not institutional funds. In time-series we show that the repricing of retail funds after merging in new shareholders is predicted by the estimated effect on its demand curve. This result is robust to other influences on repricing, including asset and account-size changes.Keywords
This publication has 16 references indexed in Scilit:
- Why Do Money Fund Managers Voluntarily Waive Their Fees?The Journal of Finance, 2001
- Mutual fund shareholders: characteristics, investor knowledge, and sources of informationFinancial Services Review, 1998
- Risk Taking by Mutual Funds as a Response to IncentivesJournal of Political Economy, 1997
- COGNITIVE DISSONANCE AND MUTUAL FUND INVESTORSJournal of Financial Research, 1997
- On Persistence in Mutual Fund PerformanceThe Journal of Finance, 1997
- Performance and persistence in money market fund returnsFinancial Services Review, 1997
- Another Puzzle: The Growth in Actively Managed Mutual FundsThe Journal of Finance, 1996
- An individual level analysis of the mutual fund investment decisionJournal of Financial Services Research, 1996
- Performance PersistenceThe Journal of Finance, 1995
- The Economics of Mutual Fund Markets: Competition Versus RegulationPublished by Springer Science and Business Media LLC ,1990