Seminar – Cross Asset Information Synergy in Mutual Fund Families

Dr Jennie Bai, Georgetown University

Despite common wisdom that equities and bonds are segmented, the organisation structure of fund families can offset frictions regarding asset market segmentation. We find that actively managed equity funds and corporate bond funds linked within a mutual fund family exhibit a significant comovement in holdings of commonly held firms’ equities and bonds, and such comovement is driven by information sharing. Synthesising cross asset information can predict future equity returns and create profits for investors, in particular, mutual fund families. Our findings accentuates the importance of collaboration between equity funds and bond funds within fund families.

Speaker bio

Jennie Bai is an associate professor at Georgetown University, also a faculty research fellow in NBER. Her research focuses on credit risk and liquidity risk in banking and the fixed income market. She has published articles in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and Journal of Financial and Quantitative Analysis.

Before joining Georgetown, she was an economist at the Federal Reserve Bank of New York. Currently she serves as Advisory Council Member in the Board of Governors of the Federal Reserve. She received her PhD from the University of Chicago.