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Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors

Ben-Rephael, Azi - 2017

We explore the trading decisions of equity mutual funds during ten periods of extreme market uncertainty. We find that mutual funds reduced their aggregate holdings of illiquid stocks. Exploring the drivers behind this result reveals that this is mainly driven by larger withdrawals from funds...

Persistent link: https://www.econbiz.de/10012975130

Not All Herding is the Same : Mutual Fund Active and Passive Herding to Anticipated Risks and Risk Shocks

Beardsley, Xiaoxin; Marlo, Tim; Wang, Jianling - 2022

Applying previous theoretical predictions on herding and market signals, we examine mutual fund herding from a … measure fund herding using cosine similarity of liquidity-adjusted trades and classify funds into five groups with … Independents in the middle. Not all herders are the same as funds with different herding tendencies vary significantly in …

Persistent link: https://www.econbiz.de/10013492651

Political uncertainty and institutional herding

Gavriilidis, Konstantinos; Kallinterakis, Vasileios Bill; … - In: Journal of corporate finance 88 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10015071106

Herding and Anchoring in Cryptocurrency Markets : Investor Reaction to Fear and Uncertainty

Gurdgiev, Constantin - 2020

cryptocurrencies, indicating direct impact of herding and anchoring biases. We also discuss a new direction for analyzing behavioral …

Persistent link: https://www.econbiz.de/10012844436

Does Momentum Trading Generate Extra Downside Risk?

Dobrynskaya, Victoria - 2020

I provide a novel risk-based explanation for the profitability of momentum strategies. I show that past winners have higher extra downside risk and lower extra upside risk (on top of the market-beta risk) than past losers. As a result, the winner-minus-loser momentum portfolios are exposed to...

Persistent link: https://www.econbiz.de/10012856771

Individualism, Uncertainty Avoidance and the Profitability of Momentum Strategies in International Markets

Dou, Yiwen (Paul) - 2010

Prior research shows that momentum returns are unlikely to be explained by risk-based theories. Daniel, Hirshleifer, and Subrahmanyam (1998) show that momentum effect can be explained by investors overconfidence and self-attribution bias while Barberis, Shleifer, and Vishny (1998) and Hong and...

Persistent link: https://www.econbiz.de/10013145308

Power Distance, Political Uncertainty and Stock Price Crash Risk : International Evidence

Su, Qiaoling - 2019

This paper tests the proposition that the unbalanced power distance (i.e., Hofstede Cultural Dimensions- Power Distance Index) and individual stock price crash risk. We examine the stock price behavior of 35 countries' listed firms from 2004 to 2016 and use multivariate analyses to document that...

Persistent link: https://www.econbiz.de/10012867466

When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns

Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...

Persistent link: https://www.econbiz.de/10014352071

The dark and the bright side of liquidity risks : evidence from open-end real estate funds in Germany

Fecht, Falko; Wedow, Michael - 2009

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

Persistent link: https://www.econbiz.de/10003882920

Investment Horizons, Systematic Risk, and Managerial Skills of Institutional Investors

Chen, Jiun-Lin - 2018

We examine the relationship between portfolio risk and equity returns over different investment horizons of institutional investors. Compared to long-term institutions, portfolios held by short-term institutions exhibit higher factor loadings in market, size, and momentum. In particular, they...

Persistent link: https://www.econbiz.de/10012928303

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