Chair of Corporate Governance. Seminar FSS2017 Asset management Prof. Dr. Alexandra Niessen-Ruenzi, Zorka Simon and Fabian Brunner

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1 Chair of Corporate Governance Seminar FSS2017 Asset management Prof. Dr. Alexandra Niessen-Ruenzi, Zorka Simon and Fabian Brunner

2 Organization All necessary information (including topic descriptions) can be found on our website Contact details for general questions: Anja Kunzmann, kunzmann[at]bwl.uni-mannheim.de Supervisors: Fabian Brunner: brunner[at]bwl.uni-mannheim.de Zorka Simon: zsimon[at]uni-mannheim.de Chair of Corporate Governance 2

3 What are the prerequisites? You are a master student. You have successfully completed at least one finance course (Albrecht, Maug, Niessen-Ruenzi, Ruenzi, Terberger, Theissen, Weber). Some knowledge of statistics and econometrics is useful and participants should be motivated to undertake empirical work. You are available in the time period from beginning of January to end of February. Chair of Corporate Governance 3

4 Time-line Mo, Fr, Submission of Priority Lists (Internet) Mo, Topics Allocation Announcement (LS Webpages) Mo, Starting Date Mo, Fr, Registration/Withdrawal Period Mo, , 12 pm Submission of Seminar Papers (6 Weeks) Mo, , 12 pm Submission of Seminar Papers (8 Weeks) Please pay attention to the deadlines! Chair of Corporate Governance 4

5 Stata and database tutorial Short crash-course on how to write an empirical paper using Stata and the databases offered at the University of Mannheim. Not a mandatory prerequisite for writing a seminar paper or master thesis. No ECTS Schedule: (9-12am) Getting to know Stata (1-2.30pm) Databases at the University of Mannheim (10-12am, 1-3pm) Database manipulation and estimation (10-12am, 1-3pm) Basic programming structures (9am-1pm) Case study The tutorial takes place in room 1.58 (PC-Pool), L7, 3-5. Detailed information on the tutorial is available on the website of the Chair of Prof. Theissen: Chair of Corporate Governance 5

6 How to apply? Submit your priority list online between November 28 and December 02, 2016 (link on our website). You can combine topics from different chairs. E.g. First preference: 3 rd Topic, Chair of Prof. Niessen-Ruenzi ; Second preference: 10 th Topic, Chair of Prof. Weber ; Third preference: 4 th Topic, Chair of Prof. Theissen Please only choose topics you are really willing to work on. The allocation of topics is based on the average grade of your finance exams. Priority will be given to students in their third or higher master semester. Chair of Corporate Governance 6

7 How do we grade? Supervision of the seminar paper by Prof. Niessen-Ruenzi and the assigned advisor. Grading: 2/3 seminar paper 1/3 presentation of the seminar paper Own empirical contribution will be rewarded. Plagiarism: no excuse policy If you do not pass or do not hand in your seminar thesis, you must(!) write your seminar thesis at our chair in the upcoming semester break. This is a rule by the examinations office. Chair of Corporate Governance 7

8 How should your paper look like? ~12 pages (without appendix) Language: English Detailed formal requirements: see the guidelines provided on our website: 8

9 General remarks on the topics For each broader topic, there exists a literature review as well as an empirical version. Odd topic number (e.g. NR3) indicates literature review Even topic number (e.g. NR4) indicates empirical topic Pay attention when filing your priority list. At most one student will be permitted for each topic version. For literature reviews, submission of the seminar paper within 6 weeks is required. For empirical topics, submission of the seminar paper within 8 weeks is required. Preliminary date for the seminar presentations: Raw data for the empirical topics will be provided, but processing and supplementing the data is necessary. 9

10 NR1/NR2: Mutual fund flows and stock market liquidity Advisor: Zorka Simon Motivation: (Open end) Mutual funds are a common investment vehicle: share trades constitute in and outflows of the fund whose size changes with the flows Large segment is that of equity mutual funds, which invest in the stock market Liquidity multifaceted concept: ease and cost of trading, price impact, market and funding liquidity Literature review (NR1) Comprehensive overview of the literature on equity mutual fund flows and various aspects of liquidity Empirical topic (NR2) Address one of these questions: Are mutual fund flows related to different aspects of liquidity? For equity mutual funds, is there a causal relationship between stock market liquidity and the net flows of funds? Can flows differ in nature in times when market liquidity improves/worsens? Data: provided but has to be complemented by liquidity measures Requirements: We recommend that the candidate should feel comfortable in the use of a statistical software program and econometrics (such as STATA). 10

11 NR3/NR4: Asset management in the financial crisis Advisor: Zorka Simon Motivation: Asset management is the active management of a portfolio (someone else s money) provided by various companies, such as investment banks or specialized asset management firms It seems that industry has changed since the financial crisis why and how? Literature review (NR3) Comprehensive overview of the literature on the effect of the financial crisis on the asset management industry (or part of it, e.g. equity mutual funds) Potential topics: fund flows during the crisis, downside liquidity or tail risk, changes in portfolio composition, shift towards passive management Empirical topic (NR4) Address the questions: how equity mutual fund flows have changed during the financial crisis, and what forces are driving these changes (e.g. market and funding liquidity)? Data: provided but has to be complemented by liquidity measures and asset prices Requirements: We recommend that the candidate should feel comfortable in the use of a statistical software program and econometrics (such as STATA). 11

12 NR5/NR6: Mutual fund performance in the financial crisis Advisor: Zorka Simon Motivation: Measuring mutual fund performance and managerial skill is far from trivial Many measures proposed (e.g. alpha, active share, AUM), but researcher so far have not found the holy grail Could it be that in different economic times different measures perform better? Literature review (NR5) Comprehensive overview of the literature on mutual fund performance measurement and/or the measurement of managerial skills. Contrast the different opinions regarding managerial skills (Does skill exist at all?), and/or compare and evaluate the different valuation methods Empirical topic (NR6) Construct and compare different return performance measures for the US equity mutual fund industry, focus on the persistence of these measures and their performance in the financial crisis. For instance, could a CAPM alpha perform well at a time when market risk is changing? Data: provided but has to be complemented by liquidity measures and asset prices Requirements: We recommend that the candidate should feel comfortable in the use of a statistical software program and econometrics (such as STATA). 12

13 NR7/NR8: Managerial experiences on capital markets Advisor: Fabian Brunner Motivation: Increasing evidence that experiences affect the decision-making of agents, both for individuals and professionals that are participating in capital markets. E.g. Stock market participation of individuals in the US (Malmendier and Nagel, 2011), stock holdings of fund managers during the.com bubble (Greenwood and Nagel, 2009) Are there experience effects in the risk-taking of mutual fund managers? Literature review (NR7) Comprehensive overview of the literature on the impact of experiences on agents in capital markets Work involving fund managers and financial institutions is of especial interest. Empirical topic (NR8) Analyze whether the market-level return experienced by managers affects their risk-taking Does recent or early experience have an impact on the risk-taking? Is experience more relevant in special market environments? Data: provided Requirements: We recommend that the candidate should feel comfortable in the use of a statistical software program and econometrics (such as STATA). 13

14 NR9/NR10: Prospect theory and mutual fund flows Advisor: Fabian Brunner Motivation: Prospect theory is widely used to describe the irrational behavior of individuals. Recently, Barberis et al. (2016) find that stocks with high prospect theory values earn lower returns going forward, i.e. some investors appear to place trades in line with prospect theory. Literature review (NR9) Comprehensive overview of the literature on applications of prospect theory in a financial context and especially asset management. Concerning empirical implementations: how is the decision-problem framed? Empirical topic (NR10) Analyze whether individual investors place mutual fund trades in line with prospect theory, i.e. do mutual fund flows positively depend on prospect theory values? Data: provided The student need write code to calculate Prospect theory values. Requirements: We recommend that the candidate should feel comfortable in the use of a statistical software program and econometrics (such as STATA). Knowledge from the course CC501 Decision Analysis is very helpful for these topics. 14

15 NR11/NR12: (Non-)Standard measures of performance and mutual fund flows Advisor: Fabian Brunner Motivation: There is extensive research on the relation of fund flows and fund performance. Mostly, research is looking at performance measures derived from asset pricing / portfolio theory. On the other hand, the behavioral finance literature shows that people behave different. Literature review (NR11) Comprehensive overview of the literature discussing the relation of mutual fund flows and fund performance. What non-standard measures are shown to have an impact? Empirical topic (NR12) Analyze whether selected non-standard measures of fund performance have an impact on mutual fund flows. Examples: skewness of returns, downside risk Data: provided Requirements: We recommend that the candidate should feel comfortable in the use of a statistical software program and econometrics (such as STATA). 15

16 Final Remarks Visit our website ( There you will find a detailed description of every topic. Pay attention to the deadlines (submission of priority list). Apply only for topics you really want to work on. In case of questions, do not hesitate to contact us. Zorka Simon: zsimon[at]uni-mannheim.de Fabian Brunner: brunner[at]bwl.uni-mannheim.de Anja Kunzmann: kunzmann[at]bwl.uni-mannheim.de (for general questions on the seminar) 16