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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

The international commonality of idiosyncratic variances

Bekaert, Geert; Wang, Xue Phyllis; Zhang, Xiaoyan - 2023

Persistent link: https://www.econbiz.de/10014325906

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

Essays on the investment behavior of institutional investors

Wermers, Russ - 1995

Persistent link: https://www.econbiz.de/10001482294

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

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

Economic and Financial Integration in Europe

Bekaert, Geert - 2017

We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one industry,...

Persistent link: https://www.econbiz.de/10012958650

Globalization and Asset Returns

Bekaert, Geert - 2016

We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes in the regulatory environment and de facto or realized...

Persistent link: https://www.econbiz.de/10012984374

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

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2019

Persistent link: https://www.econbiz.de/10012026360