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Cash-Flow Timing vs. Discount-Rate Timing : An Examination of Mutual Fund Market-Timing Skills

Lan, Chunhua - 2019

We measure the ability of professional investment managers in timing cashflow vs. discount-rate news, the two … components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 2.12/year, but … discount-rate timing of -0.84/year; further, cashflow-timing skills (but not discount-rate timing skills) strongly persist over …

Persistent link: https://www.econbiz.de/10012903952

Mutual fund investment horizon and performance

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2015

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

Persistent link: https://www.econbiz.de/10011307799

Uncommon Value : The Characteristics and Investment Performance of Contrarian Funds

Wei, Kelsey D. - 2012

Theories of herding behavior predict that only investors with sufficiently precise private information or those most overconfident will deviate from the crowd. Using portfolio holdings, this paper identifies contrarian funds as those pursuing distinctive investment strategies, i.e., as those...

Persistent link: https://www.econbiz.de/10013107486

Seasonal Asset Allocation : Evidence from Mutual Fund Flows

Kamstra, Mark J. - 2015

We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds...

Persistent link: https://www.econbiz.de/10013037742

How to discount cashflows with time-varying expected returns

Ang, Andrew; Liu, Jun - 2003

Persistent link: https://www.econbiz.de/10001815763

Estimating Private Equity Returns from Limited Partner Cash Flows

Ang, Andrew - 2017

We introduce a methodology to estimate the historical time-series of returns to investment in private equity funds. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners, and is robust to sparse data. We decompose private equity...

Persistent link: https://www.econbiz.de/10012973040

Estimating Private Equity Returns from Limited Partner Cash Flows

Ang, Andrew - 2014

We introduce a methodology to estimate the historical time series of returns to investment in private equity. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners, and is robust to sparse data. We decompose private equity returns...

Persistent link: https://www.econbiz.de/10013062150

Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe

Ang, Andrew - 2011

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...

Persistent link: https://www.econbiz.de/10013126657

Investing in mutual funds when returns are predictable

Avramov, Doron; Wermers, Russ - 2005 - First draft: May 26, 2004, This Revision: April 21, 2005

This paper analyzes the performance of portfolio strategies that invest in noload, open-end U.S. domestic equity mutual funds, incorporating predictability in (i) manager skills, (ii) fund risk-loadings, and (iii) benchmark returns. Predictability in manager skills is found to be the dominant...

Persistent link: https://www.econbiz.de/10009524808

Portfolio performance, discount dynamics, and the turnover of closed-end fund managers

Wermers, Russ; Wu, Youchang; Zechner, Josef - 2005 - First draft: November 2004, This draft: December 2005

This paper provides new evidence supporting the rationality of closed-end fund discounts by analyzing the time-series dynamics of individual fund discounts and their relation to portfolio performance and manager turnover. We show that discount changes reflect rational investor learning about...

Persistent link: https://www.econbiz.de/10009525981