Fraternal twins - should investors be careful?

  • After analyzing portfolio differences between separate account-mutual fund twins, we find that dissimilar “fraternal twins” show significantly lower joint performance than “identical twins.” This finding is consistent with fraternal twins competing for the limited attention of a manager while identical twins mutually profit. Furthermore, the effect is stronger for separate accounts, which is probably due to investors having the opportunity to influence managers’ investment decisions according to their preferences. These results are independent of differences in known investment constraints. However, the findings may be driven by separate account investors’ preferences for higher liquidity and lower idiosyncratic risk.

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Metadaten
Author:Martin RohlederORCiDGND, Hendrik TenteschGND, Rene WehGND, Marco WilkensORCiDGND
URN:urn:nbn:de:bvb:384-opus4-928553
Frontdoor URLhttps://opus.bibliothek.uni-augsburg.de/opus4/92855
ISSN:1058-3300OPAC
ISSN:1873-5924OPAC
Parent Title (English):Review of Financial Economics
Publisher:Wiley
Place of publication:Hoboken, NJ
Type:Article
Language:English
Year of first Publication:2023
Publishing Institution:Universität Augsburg
Release Date:2022/02/17
Tag:Economics and Econometrics; Finance
Volume:41
Issue:1
First Page:23
Last Page:42
DOI:https://doi.org/10.1002/rfe.1159
Institutes:Wirtschaftswissenschaftliche Fakultät
Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre
Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre / Lehrstuhl für Finanz- und Bankwirtschaft
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):CC-BY-NC-ND 4.0: Creative Commons: Namensnennung - Nicht kommerziell - Keine Bearbeitung (mit Print on Demand)