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Are momentum traders different? Implications for the momentum puzzle

Menkhoff, Lukas - 2010

This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...

Persistent link: https://www.econbiz.de/10010270394

Explaining Hedge Fund Investment Styles by Loss Aversion

Siegmann, Arjen; Lucas, André - 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10010324945

The Benefits of Creating an Integrated EU Market for Investment Funds

Heinemann, Friedrich - 2002

The fast growing EU market for investment funds is still characterised by a continuing relevance of national borders. This papers assesses this market?s degree of integration, the potential benefits from more integration and the obstacles to cross-border sales of funds. The analysis shows that...

Persistent link: https://www.econbiz.de/10010298094

Institutional Herding in Bond Markets

Oehler, Andreas; Chao, George Goeth-Chi - 2000

Recent research has shown that institutional herding is a relevant phenomenon in stock markets. Do institutional investors also follow each other in bond markets? This paper focuses on the German bond market and uses data from 57 German mutual funds that invest mainly in DM-denominated bonds,...

Persistent link: https://www.econbiz.de/10010296584

Network hierarchy in Kirman's ant model: fund investment can create systemic risk

Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009

Kirman's ant model has been used to characterize the expectation formation of financial investors who are prone to herding. The model's original version suffers from the problem of N-dependence: its ability to replicate the statistical features of financial returns vanishes once the system size...

Persistent link: https://www.econbiz.de/10010299741

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

fund families show higher sales and redemption rates. Furthermore, family size also affects the flow … winners more. Finally, we find that inner-family rankings play an important role for redemptions, with investors strongly … redeeming their shares from intra-family losers. …

Persistent link: https://www.econbiz.de/10010300703

What matters to SRI investors?

Osthoff, Peer - 2008

In this paper I investigate the investment behavior of SRI investors based on SRI mutual fund flows. Specifically, I analyze how SRI investors react to past performance and ethical standards. This empirical study shows that over the years along with the development of the SRI fund market, the...

Persistent link: https://www.econbiz.de/10010302539

The influence of buy-side analysts on mutual fund trading

Frey, Stefan; Herbst, Patrick - 2010

We present evidence of the impact of buy-side analysts on the behavior and performance of fund managers. Using data provided by a large global asset manager, we relate buy-side analysts' recommendations to fund transactions on a daily basis. Our results show that buy-side analysts have a...

Persistent link: https://www.econbiz.de/10010302544

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

fund families show higher sales and redemption rates. Further family size also affects the flow-performance relationship …: Investors in large families punish bad performance more. Last, we find that inner family rankings play an important part for … redemptions, with investors strongly redeeming their shares from intra-family losers. …

Persistent link: https://www.econbiz.de/10010302545

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - 2010

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10010303922

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