New doctoral thesis: Actively Managed Equity Mutual Funds
On Friday 17 December 2021 Andreas Ørpetveit will hold a trial lecture on a prescribed topic and defend his thesis for the PhD degree at NHH.
Prescribed topic for the trial lecture:
What is the current academic thinking of the consequences for fund performance and companies of increased investor attention to ESG scores / ratings? For example, as more and more institutional investors are taking ESG restrictions into their portfolio decisions by for example excluding coal companies, what are likely consequences?
Trial lecture:
15:15 in Aud N, NHH
Title of the thesis:
Essays on Actively Managed Equity Mutual Funds
Summary:
The thesis consists of three empirical papers on actively managed equity mutual funds.
The first paper examines how industry competition affects product development in fund families (fund companies) of actively managed funds. A central question is whether greater competition reduces potential conflicts of interest that stem from the family structure of the industry. I find that greater industry competition motivates fund families to develop the quality of their existing funds rather than to start new funds. Moreover, quality development increases performance in family-affiliated funds, and thus benefits the investors.
The second paper (co-authored with Petter Bjerksund, Trond Døskeland, and André Wattø Sjuve) analyzes the impact of policy scrutiny by comparing scrutinized closet index funds in Scandinavia with similar unaffected European funds. The main finding is that funds under scrutiny chose to increase active share rather than to reduce fees and update their investor information.
Furthermore, they find that the value creation in the funds under scrutiny decreased after they increased activity. This implies that the investors would be better off if the funds responded by reducing fees and updating investor information.
In the third paper (co-authored with Døskeland and Sjuve) they develop a model showing that the level of active management and fund fee are valuable signals for a fund’s potential to outperform its benchmark index. The authors construct active fee (the unit price of active management) and find a negative time-series relationship between active fee and subsequent flows, which can be interpreted as a negative price elasticity of demand for active management. These results suggest that investors are rational in the sense that they use active fee as a signal when buying and selling funds.
Defense:
16:30 Digital
Members of the evaluation committee:
Professor Bernt-Arne Ødegaard (leader of the committee), University of Stavanger
Professor Martijn Cremers, University of Notre Dame
Associate Professor Sofia Ramos, ESSEC Business School
Supervisor:
Professor Trond Døskeland, Department of Business and Management Science, NHH
The trial lecture and thesis defence will be open to the public.