Star Rating, Fund Flows and Performance Predictability - Evidence from Norway

2019 ◽  
Author(s):  
Linn K. Aasheim ◽  
Antonio Freitas Miguel ◽  
Sofia Brito Ramos
2020 ◽  
Vol 4 (6) ◽  
Author(s):  
Orna Intrator ◽  
Edward Alan Miller ◽  
Portia Y Cornell ◽  
Cari Levy ◽  
Christopher W Halladay ◽  
...  

Abstract Background and Objectives U.S. Department of Veterans Affairs Medical Centers (VAMCs) contract with nursing homes (NHs) in their community to serve Veterans. This study compares the characteristics and performance of Veterans Affairs (VA)-paid and non-VA-paid NHs both nationally and within local VAMC markets. Research Design and Methods VA-paid NHs were identified, characterized, and linked to VAMC markets using data drawn from VA administrative files. NHs in the United States in December 2015 were eligible for the analysis, including. 1,307 VA-paid NHs and 14,253 non-VA-paid NHs with NH Compare measures in 128 VAMC markets with any VA-paid NHs. Measurements were derived from the Centers for Medicare and Medicaid Services (CMS) five-star rating system, NH Compare. Results VA-paid NHs had more beds, residents per day, and were more likely to be for-profit relative to non-VA-paid NHs. Nationally, the average CMS NH Compare star rating was slightly lower among VA-paid NHs than non-VA-paid NHs (3.05 vs. 3.21, p = .04). This difference was seen in all 3 domains: inspection (3.11 vs. 3.23, p < .001), quality (2.68 vs. 2.83, p < .001), and total nurse staffing (3.36 vs. 3.42, p < .10). There was wide variability across VAMC markets in the ratio of average star rating of VA-paid and non-VA-paid NHs (mean ratio = 0.93, interquartile range = 0.78–1.08). Discussion and Implications With increased community NH use expected following the implementation of the MISSION Act, comparison of the quality of purchased services to other available services becomes critical for ensuring quality, including for NH care. Methods presented in this article can be used to examine the quality of purchased care following the MISSION Act implementation. In particular, dashboards such as that for VA-paid NHs that compare to similar non-VA-paid NHs can provide useful information to quality improvement efforts.


2009 ◽  
Vol 45 (1) ◽  
pp. 223-237 ◽  
Author(s):  
David Rakowski

AbstractThis paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not with performance differences arising from the suboptimal cash holdings that arise from fund flows.


2012 ◽  
Vol 02 (01) ◽  
pp. 1250003 ◽  
Author(s):  
Mila Getmansky

This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows, decrease probabilities of hedge funds liquidating. However, if investors chase a category of hedge funds that has performed well (favorably positioned), then the probability of hedge funds liquidating in this category increases. We interpret this finding as a result of competition among hedge funds in a category. As competition increases, marginal funds are more likely to be liquidated than funds that deliver superior risk-adjusted returns. We also find that there is a concave relationship between performance and lagged assets under management. The implication of this study is that an optimal asset size can be obtained by balancing out the effects of past returns, fund flows, competition, market impact, and favorable category positioning that are modeled in the paper. Hedge funds in capacity constrained and illiquid categories are subject to high market impact, have limited investment opportunities, and are likely to exhibit an optimal size behavior.


2021 ◽  
Author(s):  
Guillermo Baquero ◽  
Marno Verbeek

Cash flows to hedge funds are highly sensitive to performance streaks, a streak being defined as subsequent quarters during which a fund performs above or below a benchmark, even after controlling for a wide range of common performance measures. At the same time, streaks have limited predictive power regarding future fund performance. This suggests investors weigh information suboptimally, and their decisions are driven too strongly by a belief in continuation of good performance, consistent with the “hot hand fallacy.” The hedge funds that investors choose to invest in do not perform significantly better than those they divest from. These findings are consistent with overreaction to certain types of information and do not support the notion that sophisticated investors have superior information or superior information processing abilities. This paper was accepted by David Simchi-Levi, finance.


2021 ◽  
Vol 50 (6) ◽  
pp. 557-592
Author(s):  
Minyeon Han ◽  
Hyoung-goo Kang ◽  
Kyoung Hun Bae

We investigate why fund managers invest in lottery-like stocks and whether the behavior that holds more lottery-like stocks affects performance. First, mutual funds that hold more lottery stocks may attract more fund flows. Our results support the theory that fund managers invest more in lottery-like stocks to reflect investors' preferences for extreme payoffs. Second, the level of lottery-like characteristics of mutual funds does not predict managers’ skill and performance. Therefore, fund managers holding more lottery stocks is not a result of managers’ skills. Third, lottery-like characteristics of mutual funds do not significantly affect performance in specific reporting periods (e.g., year-end or quarter-end). Based on this result, we conclude that fund managers do not invest more in lottery stocks to advance their career.


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