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Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

fund families show higher sales and redemption rates. Further family size also affects the flow-performance relationship …: Investors in large families punish bad performance more. Last, we find that inner family rankings play an important part for … redemptions, with investors strongly redeeming their shares from intra-family losers. -- Mutual Funds ; Fund Family ; Flow …

Persistent link: https://www.econbiz.de/10008666514

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - 2011

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10008902928

Dissecting short-sale performance : evidence from large position disclosures

Jank, Stephan; Smajlbegovic, Esad - 2015

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions...

Persistent link: https://www.econbiz.de/10011392610

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2015

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010467770

Can internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011 - First draft: October 10, 2011, This draft: October 25, 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009357284

Creative destruction and asset prices

Grammig, Joachim; Jank, Stephan - 2010

This paper introduces Schumpeter's idea of creative destruction into asset pricing. The key point of our model is that small and value firms are more likely destroyed during technological revolutions, resulting into higher expected returns for these stocks. A two-factor model including market...

Persistent link: https://www.econbiz.de/10008666512

Changes in the composition of publicly traded firms : implications for the dividend-price ratio and return predictability

Jank, Stephan - 2012

This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...

Persistent link: https://www.econbiz.de/10009663676