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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
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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
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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
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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
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011506750
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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Persistent link: https://www.econbiz.de/10009665709
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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2014
Persistent link: https://www.econbiz.de/10010433373
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Flights to Safety
Baele, Lieven - 2013
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10013081241
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Flights to Safety
Baele, Lieven - 2019
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10012905168
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Flights to Safety
Baele, Lieven - 2019
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10012905512