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Do Fund Managers Misestimate Climatic Disaster Risk?

Alok, Shashwat - 2020

We examine whether professional money managers overreact to large climatic disasters. We find that managers within a major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion to disaster zone stocks is related to a salience bias...

Persistent link: https://www.econbiz.de/10012848430

False discoveries in mutual fund performance : measuring luck in estimated alphas

Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009 - This version: April 2009

This paper develops a simple technique that controls for ldquo;false discoveries,rdquo; or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated...

Persistent link: https://www.econbiz.de/10003961716

False discoveries in mutual fund performance : measuring luck in estimated alphas

Barras, Laurent; Scaillet, Olivier; Wermers, Russ - 2009 - First version, September 2005, This version, April 2009

This paper develops a simple technique that controls for "false discoveries", or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We...

Persistent link: https://www.econbiz.de/10009525174

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

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

Holding horizon : a new measure of active investment management

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2020 - This draft: November, 2018

This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a...

Persistent link: https://www.econbiz.de/10012313020

"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 … such alphas is bond price reversals post news events. Our findings highlight that bond mutual funds represent a significant … liquidity provider in the corporate bond market and play a complementary role to dealers in corporate news events. …

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

The cross-section of conditional mutual fund performance in European stock markets

Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; … - 2012 - This version: 12 June 2012

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

Persistent link: https://www.econbiz.de/10009705491

Seasonal asset allocation : evidence from mutual fund flows

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; … - 2013

preference for U.S. money market and government bond mutual funds in the autumn, and equity funds in the spring, controlling for …

Persistent link: https://www.econbiz.de/10010223510

The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets

Banegas, Ayelen - 2012

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...

Persistent link: https://www.econbiz.de/10013115042

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