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CROSS ASSET INFORMATION SYNERGY IN MUTUAL FUND FAMILIES

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If you have a question about this talk, please contact Emily Brown .

Despite common wisdom that equities and bonds are segmented, the organisation structure of fund families can offset frictions regarding asset market segmentation. We find that actively managed equity funds and corporate bond funds linked within a mutual fund family exhibit a significant comovement in holdings of commonly held firms’ equities and bonds, and such comovement is driven by information sharing. Synthesising cross asset information can predict future equity returns and create profits for investors, in particular, mutual fund families. Our findings accentuates the importance of collaboration between equity funds and bond funds within fund families.

This talk is part of the Finance Seminars, CJBS series.

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