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How dynamic hedging affects stock price movements : evidence from German option and certificate markets
Fischer, Georg - 2019
autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate … induces negative return autocorrelation in stock markets. We find empirical evidence that the hedging demand of option issuers … has a positive impact on return autocorrelation, while the opposite holds for certificate issuers, whose hedging demand …
Persistent link: https://www.econbiz.de/10011960804
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Evidence from business strategy of mutual fund managers after the financial crisis : panel smooth transition regression model
Lee, Joe-ming - 2013
This study applies by the panel transition regression (PSTR) model to investigate the nonlinear dynamic relationship between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be different business strategy under the volatility...
Persistent link: https://www.econbiz.de/10009776209
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Equity fund ownership and the cross-regional diversification of household risk
Becker, Sascha O.; Hoffmann, Mathias - In: Journal of banking & finance 34 (2010) 1, pp. 90-102
Persistent link: https://www.econbiz.de/10003905677
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Selection, market timing and style timing of equity mutual funds : evidence from Germany
Stotz, Olaf - In: Journal of business economics : JBE 77 (2007) 1, pp. 51-73
Persistent link: https://www.econbiz.de/10003410021
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Purchase and redemption decisions of mutual fund investors and the role of fund families
Jank, Stephan; Wedow, Michael - 2010
This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...
Persistent link: https://www.econbiz.de/10008666514
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Institutional investors, information and international assets
Ramadorai, Tarun - 2003
Persistent link: https://www.econbiz.de/10003624540
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Russian mutual equity fund performance: selectivity, timing and persistence
Vassiljev, Dmitri; Dudčenko, Jurijs - 2007
Persistent link: https://www.econbiz.de/10003679968
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Tournaments in mutual fund families
Kempf, Alexander; Ruenzi, Stefan - 2004
In this paper we examine intra-firm competition in the U.S. mutual fund industry. Our empirical study shows that fund managers within mutual fund families compete against each other. They adjust the risk they take dependent on the relative position within their fund family. The direction of the...
Persistent link: https://www.econbiz.de/10009524829
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Nonlinear dynamic relations between equity return and equity fund flow : Korean market empirical evidence
Kim, Sei-Wan; Kim, Youngmin - In: Asia-Pacific journal of financial studies 39 (2010) 2, pp. 139-170
Persistent link: https://www.econbiz.de/10009315273
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The short-run pricing behavior of closed-end funds : bond vs. equity funds
Anderson, Seth; Beard, T. Randolph; Kim, Hyeongwoo; … - 2014
Persistent link: https://www.econbiz.de/10010512601