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Cross-Asset Information Synergy in Mutual Fund Families

Jun Kyung Auh, Jennie Bai

NBER Working Paper No. 26626
Issued in January 2020
NBER Program(s):Asset Pricing

Despite common wisdom that equities and bonds are segmented, the organization structure of fund families can offset frictions regarding cross-asset segmentation. We find that actively-managed equity funds and corporate bond funds linked within a mutual fund family exhibit a significant co-movement in holdings of commonly-held firms' equities and bonds. Such cross-holdings facilitate information spillover, manifesting itself in the co-movement. Synthesizing cross-asset information can predict future equity returns and create profits for fund families as well as general investors. Our findings accentuate the importance of collaboration between equity funds and bond funds within fund families.

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Document Object Identifier (DOI): 10.3386/w26626

 
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