Facoltà di scienze economiche

An empirical study of information flows and conflicts of interests in brokerage business and mutual fund industry

Nefedova, Tamara ; Degeorge, François (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO002.

In my PhD thesis I unveil somewhat controversial trading practices and conflicts of interests in mutual fund industry and brokerage business. I aim to provide empirical evidence of premature information diffusion in capital markets. The novel data and identification approach of the study allows answering the questions so far not answered in the literature. In Chapter I of my thesis, I study a... More

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    Summary
    In my PhD thesis I unveil somewhat controversial trading practices and conflicts of interests in mutual fund industry and brokerage business. I aim to provide empirical evidence of premature information diffusion in capital markets. The novel data and identification approach of the study allows answering the questions so far not answered in the literature. In Chapter I of my thesis, I study a pre-release of research information by brokerage houses to their important clients. Using high-frequency trading data from Abel Noser Solutions (ANcerno), I investigate trading of individual institutions ahead of recommendation release. I find that large institutions and frequent traders trade in the direction of the Strong Buy and Buy initiations in the 5-day period before the announcement. In Chapter 2, prepared in collaboration with Alexander Eisele and Gianpaolo Paise, I investigate private information flows and trading practices inside mutual fund families when one of the funds in the family experiences a severe distress due to investor redemptions. The main academic contribution of the research paper is the empirical evidence in support of a family-coordinated predation of the distressed funds inside investment fund families.