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- Other independent variables include the two-year Carhart (1997) four-factor alpha (in %) and its quadratic term, the average expense ratio (in %), and average turnover ratio. We control for the investment style fixed effects and time fixed effects. The standard errors are clustered at the fund level. The t-statistics are reported in the parentheses. Statistical significance of 1%, 5%, and 10% is indicated by ***,**, and * respectively. (1) (2) Variables Estimated Flows N-SAR Flows Multitasking 36.990*** 42.738*** (4.502) (3.216) Alpha (%) 1.284*** 1.065*** (5.573) (3.710) Alpha Square −0.001 −0.005 (−0.206) (−1.164) Expense Ratio (%) −12.627** −16.188 (−2.223) (−1.469) Turnover Ratio −3.758*** −2.252 (−3.057) (−1.349) Style Fixed Effects Yes Yes Time Fixed Effects Yes Yes #Obs. 1,179 533 Adj. R−squared 0.072 0.063 CFR Working Paper Series Centre for FinancialResearch Cologne CFR Working Papers are available for download from www.cfr-cologne.de.
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- Our sample period is from January 1980 to December 2010. The standard errors from the t-tests are clustered by fund. Statistical significance of 1%, 5%, and 10% is indicated by ***,**, and * respectively. Panel A: Incumbent Funds Fund Characteristics Switchers Non−switchers Difference Four−Factor Alpha (%) 2.825 0.678 2.147*** DGTW Return (%) 3.798 1.522 2.275*** Net Assets (Millions) 665.441 565.028 100.413* Expense Ratio (%) 1.349 1.420 −0.071** Turnover Ratio 0.986 0.907 0.079** Net Flows (Millions) 80.009 22.927 57.082*** Panel B: Acquired Funds Fund Characteristics Acquired Non−acquired Difference Four−Factor Alpha (%) −3.166 0.154 −3.320*** DGTW Return (%) −1.540 1.406 −2.946*** Net Assets (Millions) 779.424 693.487 85.937 Expense Ratio (%) 1.390 1.320 0.069** Turnover Ratio 1.023 0.960 0.063 Net Flows (Millions) −48.212 62.394 −110.605***
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