Commonalities in investment strategy and the determinants of performance in mutual fund mergers

This paper examines the determinants of cross-sectional variation in post-merger mutual fund performance. Mergers between funds with similar management objectives, as reflected by average portfolio book-to-market ratio, price–earnings ratio, beta and market capitalization values, outperform mergers between funds with dissimilar strategies. This superior performance transcends lower portfolio rebalancing costs which might be realized between merging funds which hold more assets in common. These results suggest that mutual fund mergers create collaborative benefits between funds with similar strategies. We also examine if fund governance structures influence the fund pairing process, testing if stronger fund oversight mitigates pairing mismatches. We find that less independent boards of trustees and boards with higher compensation are related to greater strategic mismatches between funds. These results suggest that more entrenched boards are more tolerant of fund mismatches which benefit the investment company, yet are not in investor’s best interests.     

Survivor Derivatives: A Consistent Pricing Framework

Survivorship risk is a significant factor in the provision of retirement income. Survivor derivatives are in their early stages and offer potentially significant welfare benefits to society. This article applies the approach developed by Dowd et al. (2006) , Olivier and Jeffery (2004) , Smith (2005) , and Cairns (2007) to derive a consistent framework for pricing a wide range of linear survivor derivatives, such as forwards, basis swaps, forward swaps, and futures. It then shows how a recent option pricing model set out by Dawson et al. (2009) can be used to price nonlinear survivor derivatives, such as survivor swaptions, caps, floors, and combined option products. It concludes by considering applications of these products to a pension fund that wishes to hedge its survivorship risks.     

The effect of holdings data frequency on conclusions about mutual fund behavior

A number of articles in financial economics have used quarterly or semi-annual mutual fund holdings data to test hypotheses about investment manager behavior. This article reexamines four well-known hypotheses in finance to determine whether the results of prior tests of these hypotheses remain valid when higher frequency (monthly) holdings data are employed. The areas examined are: momentum trading, tax-motivated trading, window dressing, and tournament behavior. We find that the use of monthly holdings data rather than quarterly holdings data or, in the case of tournament behavior, holdings data rather than monthly return data, change, and in some cases reverse, previous results. This occurs because monthly holdings data capture a large number of trades missed by quarterly data (18.5% of the trades) and permit a more precise estimation of the timing of trades.     

FINANCIAL INTERMEDIATION AND FINANCIAL INNOVATION IN A CHARACTERISTICS FRAMEWORK

This paper shows that the characteristics model provides a unifying framework for analysing both financial intermediation and the process of financial innovation. The role of the financial intermediary is to buy-in the primary liabilities of the firm, unbundle and repackage the characteristics contained in them and issue a set of ultimate assets to households. Assets exist because the balance between the supply of and demand for asset characteristics indicates an interior equilibrium. Financial innovations arise whenever changes in supply and demand induce movements from a corner solution to the interior. A number of existing explanations of financial innovation can be expressed using this framework.     

Taking advantage of social comparisons in performance appraisal: The relative percentile method

Social comparison theory (Festinger, 1954) implies that it may be more efficacious for job performance raters to compare an employee to other employees rather than to use typical “absolute” rating standards. We assessed whether the incorporation of social comparisons into performance appraisals, using the relative percentile method (RPM), would predict criterion variance beyond that predicted by more traditional absolute ratings of performance. A sample (N=170) of managers involved in an assessment center was used, and the center provided criteria by which the relative criterion‐related validity of social‐comparative versus noncomparative (absolute) appraisals could be assessed. Overall, in consonance with a preponderance of earlier research, social‐comparative (RPM) performance appraisals showed incremental criterion‐related validity over traditional absolute performance appraisal methods. © 2009 Wiley Periodicals, Inc.     

Outcomes of Meaningful Work: A Meta‐Analysis

Using job characteristics theory as a framework, we calculated meta‐analytic effect sizes between meaningful work and various outcomes and tested a mediated model of meaningful work predicting proximal and distal outcomes with meta‐analytic structural equation modelling (MASEM). From 44 articles (N = 23,144), we found that meaningful work had large correlations (r = 0.70+) with work engagement, commitment, and job satisfaction; moderate to large correlations (r = 0.44 to ?0.49) with life satisfaction, life meaning, general health, and withdrawal intentions; and small to moderate correlations (r = ?0.19 to 0.33) with organizational citizenship behaviours, self‐rated job performance, and negative affect. The best MASEM fitting model was meaningful work predicting work engagement, commitment, and job satisfaction and these variables subsequently predicting self‐rated performance, organizational citizenship behaviours, and withdrawal intentions. This meta‐analysis provides estimated effect sizes between meaningful work and its outcomes and reveals how meaningful work relates directly and indirectly to key outcomes.     

Optimal policy in Markov-switching rational expectations models

In this paper we consider the optimal quadratic control problem of Markov-switching linear rational expectation models. These models are general and flexible tools for modelling not only regime but also model or parameter uncertainty. We show, first, how to find the solution of a Markov-switching linear rational expectation model. Based on this solution we then show how to apply dynamic programming to find the optimal time-consistent policy and the resulting Nash-Stackelberg equilibrium. Suitable modifications of the algorithm allow to deal with the (non-RE) case in which the policymaker and the private sector hold different beliefs or probabilities over regime change. We also show how the optimisation procedure can be employed to obtain the optimal policy under commitment. As an illustration we compute the optimal policy in a small open economy subject to stochastic structural breaks in some of its key parameters.     

Driving health IT implementation success: Insights from The Christ Hospital

The application of information technology to healthcare promises significant benefits, particularly with regard to innovations in improving both clinical and administrative processes. However, to date, few studies have been devoted to understanding the process of implementing a hospital's clinical and business systems and the drivers of success. In this article, we describe a major HIT implementation undertaken by The Christ Hospital (TCH). Specifically, we report on TCH's efforts to separate from a well-established, multi-facility healthcare delivery network and move toward providing world-class patient care on its own. Here, we examine how different stakeholder perspectives, rather than causing conflict, were capitalized on via a collaboration-intensive process. These stakeholders included administrators, physicians, nurses, and other hospital staff, as well as external vendors and TCH's consulting partner. This project is unique due to the speed and spirit of collaboration with which it was accomplished. Our findings have a number of generalizable lessons for practice and implications for research.