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Fund Network Centrality, Hard-to-Value Portfolio, and Investment Performance
Joint Authors
Hu, Xiao
Cang, Yimeng
Ren, Long
Liu, Jun
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-12-17
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
Based on the quarterly data of mutual funds in China from the fourth quarter of 2004 to the fourth quarter of 2019, this paper constructs a series of complex bipartite networks based on the overlapped portfolios of mutual funds and then explores the influences of fund network position on mutual fund’s investment behavior and performance.
This paper finds that a mutual fund with shorter information transmission path to other entities in the fund network (i.e., having higher closeness centrality) or with stronger ties with those entities in important information positions (i.e., having higher eigenvector centrality) will achieve better investment performance.
However, a stronger mediating role over the potential information flow of the fund network (i.e., having higher betweenness centrality) cannot help a mutual fund increase performance.
The empirical results also indicate that a mutual fund holding stock portfolios with high valuation difficulties caused by the market or fundamental information uncertainty will achieve better investment performance, while holding hard-to-value portfolios caused by limited public information will reduce the performance of the fund.
Furthermore, high closeness centrality or eigenvector centrality can help mutual funds deal with the disclose problems of public information, thus reducing the likelihood of a mutual fund holding hard-to-value portfolios caused by limited public information to achieve worse performance.
Eigenvector centrality brings information advantages about company fundamentals, so it is easier for a mutual fund with high eigenvector centrality to profit from holding hard-to-value portfolios caused by the fundamental information uncertainty.
The conclusions of this paper can enhance our understanding of the fund network and its information mechanism and shed new light on mutual fund’s information advantages and related asset allocation strategies.
American Psychological Association (APA)
Hu, Xiao& Cang, Yimeng& Ren, Long& Liu, Jun. 2020. Fund Network Centrality, Hard-to-Value Portfolio, and Investment Performance. Complexity،Vol. 2020, no. 2020, pp.1-17.
https://search.emarefa.net/detail/BIM-1143108
Modern Language Association (MLA)
Hu, Xiao…[et al.]. Fund Network Centrality, Hard-to-Value Portfolio, and Investment Performance. Complexity No. 2020 (2020), pp.1-17.
https://search.emarefa.net/detail/BIM-1143108
American Medical Association (AMA)
Hu, Xiao& Cang, Yimeng& Ren, Long& Liu, Jun. Fund Network Centrality, Hard-to-Value Portfolio, and Investment Performance. Complexity. 2020. Vol. 2020, no. 2020, pp.1-17.
https://search.emarefa.net/detail/BIM-1143108
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1143108