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The Determinants and Implications of Mutual Fund Cash Holdings: Theory and Evidence
16 references·8 citing·34 second hop
The Determinants and Implications of Mutual Fund Cash Holdings: Theory and Evidence (2006)The Determinants and Implications of Mutu…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows* (2005)Out of Sight, Out of Mind: Th…The Cash Flow Sensitivity of Cash (2004)The Cash Flow Sensitivity of …Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Does Fund Size Erode Mutual F…Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows (2000)Truth in Mutual Fund Advertis…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…The determinants and implications of corporate cash holdings (1999)The determinants and implicat…Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability (1999)Is Money Smart? A Study of Mu…The Determinants of Corporate Liquidity: Theory and Evidence (1998)The Determinants of Corporate…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Risk, Return, and Equilibrium (1971)Risk, Return, and EquilibriumLocal Banks and the Effects of Oil Price Shocks (2021)Local Banks and the Effects o…Dynamic Liquidity Preferences of Mutual Funds (2020)Dynamic Liquidity Preferences…Downside Risk Timing by Mutual Funds (2018)Downside Risk Timing by Mutua…Liquidity Transformation and Financial Stability: Evidence from the Cash Management of Open-End Italian Mutual Funds (2017)Liquidity Transformation and …Actively managed mutual funds holding passive investments: What do ETF positions tell us about mutual fund ability? (2016)Actively managed mutual funds…Dynamic Programming Models and Algorithms for the Mutual Fund Cash Balance Problem (2010)Dynamic Programming Models an…Smart fund managers? Stupid money? (2009)Smart fund managers? Stupid m…Do Hedge Funds Profit From Mutual-Fund Distress? (2008)Do Hedge Funds Profit From Mu…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)The Nature of the Firm (1937)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)The General Theory of Employment, Interest and Money. (1936)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The theory and practice of corporate finance: evidence from the field (2001)Why Do U.S. Firms Hold So Much More Cash than They Used To? (2009)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Corporate social responsibility and access to finance (2013)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)Mutual Fund Flows and Performance in Rational Markets (2002)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1999The determinants and implications of corporate cash holdings3,910 cited
  • 2004The Cash Flow Sensitivity of Cash3,523 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 2004Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization1,429 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1998The Determinants of Corporate Liquidity: Theory and Evidence1,243 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1999Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability816 cited
  • 2005Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows*800 cited
  • 2000Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows

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540 cited
  • 1971Risk, Return, and Equilibrium539 cited
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    • 2009Smart fund managers? Stupid money?35 cited
    • 2021Local Banks and the Effects of Oil Price Shocks29 cited
    • 2018Downside Risk Timing by Mutual Funds26 cited
    • 2017Liquidity Transformation and Financial Stability: Evidence from the Cash Management of Open-End Italian Mutual Funds25 cited