Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
July 2000 - This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another). Kaminsky, Lyons...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
The World Bank
1999
|
| Schlagworte: | |
| Online-Zugang: | BSB01 EUV01 HTW01 FHI01 IOS01 Volltext |
| Zusammenfassung: | July 2000 - This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another). Kaminsky, Lyons, and Schmukler address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries. The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. The authors may be contacted at graciela@gwu.edu, lyons@haas.berkeley.edu, or sschmukler@worldbank.org |
| Beschreibung: | 1 Online-Ressource (42 Seiten)) |
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| 520 | 3 | |a July 2000 - This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another). Kaminsky, Lyons, and Schmukler address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. | |
| 520 | 3 | |a Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries. The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. | |
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Datensatz im Suchindex
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| spelling | Schmukler, Sergio Verfasser aut Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio Washington, D.C The World Bank 1999 1 Online-Ressource (42 Seiten)) txt rdacontent c rdamedia cr rdacarrier July 2000 - This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another). Kaminsky, Lyons, and Schmukler address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries. The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. The authors may be contacted at graciela@gwu.edu, lyons@haas.berkeley.edu, or sschmukler@worldbank.org Online-Ausg Budget Debt Markets Emerging Market Emerging Markets Finance and Financial Sector Development Financial Crisis Financial Support Fund Managers Hedge Hedge Funds Interest Investor Investors Lending Mutual Fund Mutual Fund Strategies Mutual Funds Pension Pension Funds Portfolio Trading Warrants Lyons, Richard Sonstige oth Schmukler, Sergio Sonstige oth Schmukler, Sergio Managers, Investors, and Crises http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-2399 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Schmukler, Sergio Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Budget Debt Markets Emerging Market Emerging Markets Finance and Financial Sector Development Financial Crisis Financial Support Fund Managers Hedge Hedge Funds Interest Investor Investors Lending Mutual Fund Mutual Fund Strategies Mutual Funds Pension Pension Funds Portfolio Trading Warrants |
| title | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_auth | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_exact_search | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_exact_search_txtP | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_full | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio |
| title_fullStr | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio |
| title_full_unstemmed | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio |
| title_short | Managers, Investors, and Crises |
| title_sort | managers investors and crises mutual fund strategies in emerging markets |
| title_sub | Mutual Fund Strategies in Emerging Markets |
| topic | Budget Debt Markets Emerging Market Emerging Markets Finance and Financial Sector Development Financial Crisis Financial Support Fund Managers Hedge Hedge Funds Interest Investor Investors Lending Mutual Fund Mutual Fund Strategies Mutual Funds Pension Pension Funds Portfolio Trading Warrants |
| topic_facet | Budget Debt Markets Emerging Market Emerging Markets Finance and Financial Sector Development Financial Crisis Financial Support Fund Managers Hedge Hedge Funds Interest Investor Investors Lending Mutual Fund Mutual Fund Strategies Mutual Funds Pension Pension Funds Portfolio Trading Warrants |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-2399 |
| work_keys_str_mv | AT schmuklersergio managersinvestorsandcrisesmutualfundstrategiesinemergingmarkets AT lyonsrichard managersinvestorsandcrisesmutualfundstrategiesinemergingmarkets |