tailieunhanh - STANFORD INSTITUTE FOR ECONOMIC POLICY RESEARCH

While the demand for research on investment performance has increased, the cost of producing this research has declined. Early studies relied on proprietary or expensive commercial databases for their fund performance figures, or researchers collected data by hand from published paper volumes. In 1997, the Center for Research in Security Prices introduced the CRSP mutual fund database, com- piled originally by Mark Carhart, into the academic research market. Starting in about 1994, several databases on hedge fund returns and characteristics became available to academic researchers. Of course, during the same period the costs of computing have declined dra- matically. In response to an increased demand and lower costs of production, the. | This work is distributed as a Discussion Paper by the STANFORD INSTITUTE FOR ECONOMIC POLICY RESEARCH SIEPR Discussion Paper No. 02-15 Too Many Mutual Funds - Financial Product Differentiation Over the State Space By Shujing Li Stanford University January 2003 Stanford Institute for Economic Policy Research Stanford University Stanford CA 94305 650 725-1874 The Stanford Institute for Economic Policy Research at Stanford University supports research bearing on economic and public policy issues. The SIEPR Discussion Paper Series reports on research and policy analysis conducted by researchers affiliated with the Institute. Working papers in this series reflect the views of the authors and not necessarily those of the Stanford Institute for Economic Policy Research or Stanford University. Too Many Mutual Funds 1 - Financial Product Differentiation Over The State Space Shujing Li Department of Economics Stanford University Email ecli@ First Draft December 2001 This Draft January 2003 Comments are welcome. Abstract This paper identifies in the mutual fund industry a novel form of product differentiation - financial product differentiation over the state space. On the one hand it is a well-documented fact that investors chase past performances of the mutual funds. On the other hand the mutual funds performances are determined not only by fund managers abilities but also by stochastic noise factors. In such a context to avoid head-to-head competition created by holding the same portfolio the mutual fund managers could gain higher profits by holding different portfolios which yield distinct returns at varying states. In other words different funds win and attract cash in different periods and thus obtain market power alternatively. To empirically test this idea this paper rigorously developed a structural model - a multinomial IV logit model with random characteristics. Similar to BLP 1995 this model produces meaningful own-price and cross-price elasticities .

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