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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

Climate Risk, Institutional Investors, and the Information Content of Stock Prices

Blanco, Iván; Martin-Flores, Jose M.; Remesal, Alvaro - 2022

We analyze how the materialization of climate risk in the institutional investors' portfolios spurs a propagation effect on the information content of stock prices. Institutional investors with a relatively high portfolio exposure to disasters divest from disaster-hit stocks, decrease the...

Persistent link: https://www.econbiz.de/10014244603

REIT Crash Risk and Institutional Investors

An, Heng - 2016

This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to...

Persistent link: https://www.econbiz.de/10012981822

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

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

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

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

High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19

Gurrib, Ikhlaas; Kamalov, Firuz - 2021

This study investigates the presence of intraday patterns in the eleven sectors of the United States (U.S.) economy. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session on the New York Stock Exchange (NYSE), (ii) whether a...

Persistent link: https://www.econbiz.de/10013231110

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