Three essays on style drift in mutual funds : a dissertation presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, School of Economics and Finance, Albany Campus, New Zealand

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dc.confidentialEmbargo : Noen_US
dc.contributor.advisorWongchoti, Jeff
dc.contributor.authorMalik, Anum
dc.date.accessioned2022-09-20T03:04:13Z
dc.date.accessioned2022-12-12T01:42:29Z
dc.date.available2022-09-20T03:04:13Z
dc.date.available2022-12-12T01:42:29Z
dc.date.issued2022
dc.description.abstractThis thesis seeks to enhance our collective understanding of style drift in mutual funds. The first essay of this thesis provides a critical review of the current literature on the topic of style drift and presents newer ways of viewing the concept. In particular, it provides a detailed analysis of the U.S. mutual funds industry and proposes a conceptual framework to present a fuller picture of the phenomenon. This framework introduces the concept of style enhancement and presents a newer way of viewing style drift. The proposed framework offers insights beyond the traditional notion that classifies all types of deviations under one broad phenomenon of “style drift.” This thesis then, in Essay Two, attempts to identify a threshold level of deviation beyond which a fund is likely to be classified as misclassified. This essay provides practical implications to investors as it helps them in identifying when their portfolio is likely to move toward a point beyond which they should be watchful about the investment activities carried out by their fund managers. The deviations beyond this threshold level may expose them to risk adversely affecting their investment portfolio. The final essay of this thesis, Essay Three, investigates the relationship between the frequency of mutual fund holdings disclosure and style drift. This essay uses a difference-in-difference test to examine the impact of disclosure frequency on the style drift of mutual funds. The evidence suggests that style drift decreases with an increase in disclosure frequency and vice versa. The essay provides implications for the standard setting authorities, such as the Securities and Exchange Commission, to consider the impact of disclosure frequency on the style drift of mutual funds when determining optimal disclosure frequency. Keywords: Mutual Funds, Investment Style, Style Drift, Style Enhancement, Style Misclassification, Risk-Shifting Behavior, Style Misclassification, Investment Style, Performance, Tracking Error Mutual Funds; Portfolio Holdings Disclosure; Portfolio Disclosure Frequency, Style Drift, SEC Regulation, Difference-In-Difference Testen_US
dc.identifier.urihttp://hdl.handle.net/10179/17855
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectMutual fundsen
dc.subjectManagementen
dc.subjectmutual fundsen
dc.subjectinvestment styleen
dc.subjectstyle driften
dc.subjectstyle enhancementen
dc.subjectstyle misclassificationen
dc.subjectrisk-shifting behavioren
dc.subjectperformanceen
dc.subjectdisclosureen
dc.subjectportfolio disclosure frequencyen
dc.subjectSEC regulationen
dc.subjectdifference-in-difference testen
dc.subject.anzsrc350208 Investment and risk managementen
dc.titleThree essays on style drift in mutual funds : a dissertation presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, School of Economics and Finance, Albany Campus, New Zealanden_US
dc.typeThesisen_US
massey.contributor.authorMalik, Anumen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelDoctoralen_US
thesis.degree.nameDoctor of Philosophy (PhD)en_US
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