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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

Factor mimicking portfolios for climate risk

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2024 - This version: March 2024

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...

Persistent link: https://www.econbiz.de/10014531337

Factor-mimicking portfolios for climate risk

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 37-58

Persistent link: https://www.econbiz.de/10015050470

Runs on Money Market Mutual Funds

Wermers, Russ - 2013

This paper studies daily investor flows to and from each money market mutual fund during the nine-month period prior to and including the money fund crisis of September 2008. We focus on the determinants of flows in the prime money fund category to shed light on the covariates of money fund...

Persistent link: https://www.econbiz.de/10013091342

Runs on Money Market Mutual Funds

Schmidt, Lawrence - 2015

We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data facilitates new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. Empirically, we find that...

Persistent link: https://www.econbiz.de/10013038202

Understanding Momentum and Reversals

Kelly, Bryan T. - 2020

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument with a conditional factor pricing model. Using...

Persistent link: https://www.econbiz.de/10012832984

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