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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

Analyst recommendations, mutual fund herding, and overreaction in stock prices

Brown, Nerissa C.; Wei, Kelsey D.; Wermers, Russ - 2007 - This Draft: March 2007

This paper documents the tendency of mutual fund managers to follow analyst recommendation revisions when they trade stocks, and the impact of analyst revisioninduced mutual fund "herds" on stock prices. We find that mutual fund herds follow consensus revisions in analyst recommendations,...

Persistent link: https://www.econbiz.de/10009525971

Runs on money market mutual funds

Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ - 2014 - [revised]

We study daily money market mutual fund flows at the individual share class level during the crisis of September 2008. The empirical approach that we apply to this fine granularity of data brings new insights into the investor and portfolio holding characteristics that are conducive to run-risk...

Persistent link: https://www.econbiz.de/10011482229

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

Language and domain specificity : a Chinese financial sentiment dictionary*

Du, Zijia; Huang, Alan Guoming; Wermers, Russ; Wu, Wenfeng - In: Review of finance : journal of the European Finance … 26 (2022) 3, pp. 673-719

Persistent link: https://www.econbiz.de/10013253823

"Buy the rumor, sell the news" : liquidity provision by bond funds following corporate news events

Huang, Alan Guoming; Wermers, Russ; Xue, Jinming - 2023

Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment. The trading against news phenomenon is concentrated in funds selling on positive news and in the post-financial crisis period when dealer liquidity provision is constrained....

Persistent link: https://www.econbiz.de/10014456062