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Dumb Money : Mutual Fund Flows and the Cross-Section of Stock Returns
Frazzini, Andrea - 2010
We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money %uF818 by reallocating across different mutual funds, retail investors reduce their wealth in the...
Persistent link: https://www.econbiz.de/10012762427
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Transparency and International Investor Behavior
Gelos, Gaston - 2002
transparent countries. On the other hand, herding among funds tends to be more prevalent in less transparent countries. There is …
Persistent link: https://www.econbiz.de/10012787084
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Herd on the Street : Informational Inefficiencies in a Market with Short-Term Speculation
Froot, Kenneth - 2001
informed traders also know. There can be multiple herding equilibria, and herding speculators may even choose to study …
Persistent link: https://www.econbiz.de/10012787681
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Unexploited Gains from International Diversification : Patterns of Portfolio Holdings Around the World
Didier, Tatiana - 2010
This paper studies how portfolios with a global investment scope are actually allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The...
Persistent link: https://www.econbiz.de/10013134865
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The Behavior of Intoxicated Investors : The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Manconi, Alberto - 2010
performance held higher portions of their portfolios in securitized bonds prior to the crisis. After the onset of the crisis …
Persistent link: https://www.econbiz.de/10013140999
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It Pays to Set the Menu : Mutual Fund Investment Options in 401(K) Plans
Pool, Veronika Krepely - 2013
performance of poorly-performing affiliated funds indicates that these trustee decisions are not information driven and are costly …
Persistent link: https://www.econbiz.de/10013087436
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Defined Contribution Pension Plans : Sticky or Discerning Money?
Sialm, Clemens - 2013
performance sensitivity than non-DC flows, primarily due to the adjustments of the investment options by the plan sponsors. Thus …
Persistent link: https://www.econbiz.de/10013073952
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Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
Glode, Vincent - 2010
market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance … of funds should be unpredictable. We find however that relative fund performance is predictable after periods of high … market returns but not after periods of low market returns. The asymmetric predictability in performance we document cannot …
Persistent link: https://www.econbiz.de/10013152571
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A Rational Model of the Closed-End Fund Discount
Berk, Jonathan - 2004
The discount on closed-end funds is widely accepted as proof of investor irrationality. We show,however, that a parsimonious rational model can generate a discount that exhibits many of the characteristics observed in practice. The only required features of the model are that managers have...
Persistent link: https://www.econbiz.de/10012785750
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Daily Momentum and Contrarian Behavior of Index Fund Investors
Massa, Massimo - 2010
We use a two-year panel of individual accounts in an Samp;P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms...
Persistent link: https://www.econbiz.de/10012763343