Data Description

With our fund data, I match the funds in the new data by unique fund codes. After matching, I categorize the funds into those issued before, during and after the Great Recession. The idea is that AMCs design their funds in response to the environmental signals. Therefore, we should observe differences in the asset portfolios of funds in the three time periods.

To check this, I plot the shares of stocks, bonds and other assets for funds that are issued at 3 time periods: before, during and after the Great Recession.

Plotting Asset Portfolios of Funds

First, the shares of stocks of funds that are issued before, during and after the Great Recession are summarized in the following box plot.

# creating a plot of stock shares
share_stocks <- ggviolin(temp, 
                          x = "Recession", 
                          y = "Equity_ratio",
                          color = "Recession",
                          palette = "jco",
                          ylab = "Stock Shares",
                          add = "mean_sd")
share_stocks <- share_stocks + stat_compare_means()
share_stocks

Second, the shares of bonds of funds that are issued before, during and after the Great Recession are summarized in the following box plot.

# creating a plot of bond shares
share_bonds <- ggviolin(temp, 
                          x = "Recession", 
                          y = "Bond_ratio",
                          color = "Recession",
                          palette = "jco",
                          ylab = "Bond Shares",
                          add = "mean_sd")
share_bonds <- share_bonds + stat_compare_means()
share_bonds

Third, the shares of other assets of funds that are issued before, during and after the Great Recession are summarized in the following box plot. Note that other assets mostly include currency products, but not formally specified in the data.

share_others <- ggviolin(temp, 
                          x = "Recession",
                          y = "Other_asset_ratio",
                          fill = "Recession",
                          palette = "jco",
                          ylab = "Other Assets Shares",
                          add = "mean")
share_others <- share_others + stat_compare_means()
share_others

Conclusion

From the three plots, we can see that AMCs decrease the shares of stocks in the compositions of funds during the Great Recession. This is because the stock market plummeted during the recession. It is therefore better to increase the shares of other assets. Overall, AMCs shift the asset portfolios of funds during the recession.