Essays on Mutual Funds
On Thursday 12 January 2023 André Wattø Sjuve 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 are the consequences of the considerable flows from active to passive mutual funds in recent years?
Aud N, NHH, 10:15
Title of the thesis:
«Essays on Mutual Funds»
The thesis consists of three empirical papers exploring different aspects of actively managed equity mutual funds.
The first paper examines whether sustainable investors are more sensitive to fees than investors in non-sustainable funds. The results show that investors in sustainable funds are generally more sensitive to fees, and that investors in funds with a high sustainability rating, but without a sustainability goal are more sensitive than those in funds with an explicit sustainability goal.
The second paper examines how policy scrutiny impacts closet index funds (active funds that are largely passive), by comparing affected funds in Scandinavia with similar unaffected European funds. The main finding is that funds under scrutiny chose to increase their activity (active share) rather than to reduce fees and update their investor information. This increased activity led to a reduction in value creation for the funds' investors, suggesting that they would have been better off if the funds had responded by reducing fees instead.
The third paper develops a simple model of net flows in the presence of time-varying fund fees and examines the relationship between the extra cost for active management and the demand for active funds. The results show a negative relationship between fees (both excess fees and unit cost) and subsequent net flows, indicating that fund investors are price sensitive to some degree.
Aud N, NHH, 12:15
Members of the evaluation committee:
Assistant Professor Paul Pelzl (leader of the committee), Department of Business and Management Science, NHH
Professor Charlotte Christiansen, School of Business and Social Sciences, Aarhus University
Professor Miguel Ferreira, Nova school of Business and Economics
Professor Trond Døskeland (main supervisor), Department of Business and Management Science, NHH
Adjunct Associate Professor Jens Sørlie Kværner, Department of Business and Management Science, NHH
The trial lecture and thesis defense will be open to the public.