Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets
The authors 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 disentang...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, DC
2014
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| Online Access: | http://documents.worldbank.org/curated/en/2000/07/443624/managers-investors-crises-mutual-fund-strategies-emerging-markets http://hdl.handle.net/10986/19818 |
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okr-10986-198182021-04-23T14:03:46Z Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets Kaminsky, Graciela Lyons, Richard Schmukler, Sergio L. ASSET PRICING ASSET VALUE ASSETS BANKING SECTOR BENCHMARK BENCHMARKS BONDS CAPITAL FLOWS CAPITAL INFLOWS COMMODITY PRICES COMPETITIVENESS CONTAGION CURRENT ACCOUNT DEBT DEBT CRISIS DEVALUATION DIVIDENDS EMERGING MARKETS EXPECTED RETURNS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL SUPPORT FOREIGN INVESTORS HEDGE FUNDS INSTITUTIONAL INVESTORS INTEREST RATES INTERNATIONAL FINANCE LIQUIDITY MACROECONOMICS MUTUAL FUND MUTUAL FUNDS PORTFOLIO PORTFOLIOS RANDOM WALK SECURITIES STATISTICAL INFERENCE STOCK PRICES TRADING TRADING STRATEGIES TREASURY BILLS VOLATILITY WARRANTS The authors 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 0 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. 2014-08-28T17:30:37Z 2014-08-28T17:30:37Z 2000-07 http://documents.worldbank.org/curated/en/2000/07/443624/managers-investors-crises-mutual-fund-strategies-emerging-markets http://hdl.handle.net/10986/19818 English en_US Policy Research Working Paper;No. 2399 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |
| repository_type |
Digital Repository |
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Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
ASSET PRICING ASSET VALUE ASSETS BANKING SECTOR BENCHMARK BENCHMARKS BONDS CAPITAL FLOWS CAPITAL INFLOWS COMMODITY PRICES COMPETITIVENESS CONTAGION CURRENT ACCOUNT DEBT DEBT CRISIS DEVALUATION DIVIDENDS EMERGING MARKETS EXPECTED RETURNS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL SUPPORT FOREIGN INVESTORS HEDGE FUNDS INSTITUTIONAL INVESTORS INTEREST RATES INTERNATIONAL FINANCE LIQUIDITY MACROECONOMICS MUTUAL FUND MUTUAL FUNDS PORTFOLIO PORTFOLIOS RANDOM WALK SECURITIES STATISTICAL INFERENCE STOCK PRICES TRADING TRADING STRATEGIES TREASURY BILLS VOLATILITY WARRANTS |
| spellingShingle |
ASSET PRICING ASSET VALUE ASSETS BANKING SECTOR BENCHMARK BENCHMARKS BONDS CAPITAL FLOWS CAPITAL INFLOWS COMMODITY PRICES COMPETITIVENESS CONTAGION CURRENT ACCOUNT DEBT DEBT CRISIS DEVALUATION DIVIDENDS EMERGING MARKETS EXPECTED RETURNS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL SUPPORT FOREIGN INVESTORS HEDGE FUNDS INSTITUTIONAL INVESTORS INTEREST RATES INTERNATIONAL FINANCE LIQUIDITY MACROECONOMICS MUTUAL FUND MUTUAL FUNDS PORTFOLIO PORTFOLIOS RANDOM WALK SECURITIES STATISTICAL INFERENCE STOCK PRICES TRADING TRADING STRATEGIES TREASURY BILLS VOLATILITY WARRANTS Kaminsky, Graciela Lyons, Richard Schmukler, Sergio L. Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets |
| relation |
Policy Research Working Paper;No. 2399 |
| description |
The authors 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 0 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. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Kaminsky, Graciela Lyons, Richard Schmukler, Sergio L. |
| author_facet |
Kaminsky, Graciela Lyons, Richard Schmukler, Sergio L. |
| author_sort |
Kaminsky, Graciela |
| title |
Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets |
| title_short |
Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets |
| title_full |
Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets |
| title_fullStr |
Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets |
| title_full_unstemmed |
Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets |
| title_sort |
managers, investors, and crises : mutual fund strategies in emerging markets |
| publisher |
World Bank, Washington, DC |
| publishDate |
2014 |
| url |
http://documents.worldbank.org/curated/en/2000/07/443624/managers-investors-crises-mutual-fund-strategies-emerging-markets http://hdl.handle.net/10986/19818 |
| _version_ |
1764441477669191680 |