This paper provide evidence of momentum strategy selection and investment strategy switch under different market state for 207 mutual funds. The test are designed to examine the impact of different strategy and evaluate the performance under specific conditions. The study in this paper confirm...

Lending to emerging market economies (EMEs) through bond purchases has surged since 2009. What are the risks of a sudden stop? Bond mutual funds may curtail credit through two channels. The first is redemptions by ultimate investors. The second is additional discretionary sales by fund managers,...

In this paper, I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the global financial crisis. First, I show that mutual funds exposed to deposits and securities issued by small banks suffered significant outflows, due to the increased risk...

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

We provide empirical evidence that the returns on US equity momentum exhibit a time-varying skewness which deepens during dramatic losses (crashes). As a result, the dynamics of the strategy expected returns reflects the time variation in both conditional volatility and skewness. This has first...

Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rightsto redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several...

We examine whether bank connections via common mutual fund ownership serve as a contagion channel affecting the systemic risk of the banking system. We first document that the extent of a bank’s connection with other banks via common ownership increases its contribution to systemic risk. We...

Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...

The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...

This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from...