This paper examines “causality” effects between mutual fund flows and stock index prices in Japan. In particular, both the short and long run dynamics between stock prices and fund units are investigated. The novelty of our paper is the use of the hidden cointegration technique which...

We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain (PIGS) government debt mutual funds. Performance persistence is measured for short-, medium-, and long-term periods using the conditional CAPM, the Sharpe ratio, and a modified version of the Sharpe ratio....

This paper provides new evidence on herding behavior. We use a five-year period and daily data for 336 listed firms from the US capital market putting under the microscope three important elements of financial herding behavior. First, trading volume, representing market interest, as a...