We examine the trading strategies of mutual funds in emerging markets. We develop a method for disentangling the behavior of fund managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: mutual funds...

How do mutual funds behave when they invest in emerging economies? For one thing, mutual funds' flows are not stable. Withdrawals from emerging markets during recent crises were large, which squares with existing evidence of financial contagion.International mutual funds are one of the main...

This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another).Kaminsky, Lyons, and...

International mutual funds are key contributors to the globalization of financial markets and one of the main sources of capital flows to emerging economies. Despite their importance in emerging markets, little is known about their investment allocation and strategies. This paper provides an...

This paper addresses the trading strategies of mutual funds in emerging markets. The data set we develop permits analysis of these strategies at the level of individual portfolios. Methodoloically, a novel feature is our disentangling the behavior of managers from that of underlying investors....

It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over the lunch hour. Lunch return variance doubles with the introduction of trading, which cannot be due...

This paper addresses a fundamental tradeoff in the design of multiple-dealer markets. Namely, though greater transparency can accelerate revelation of information in price, it can also impede dealer risk management. If dealers could choose the transparency regime ex-ante, which regime would they...

The foreign exchange market is distinctive at the microstructural level. The three most striking features relative to other markets are: (1) trading volume is enormous, (2) the share of interdealer trading is very high, and (3) the transparency of order flow is very low. This paper introduces a...

This paper develops a two-period model of the spot foreign exchange market that emphasizes inter-dealer trading. At the outset, strategic risk-averse dealers each receive orders from non-dealer customers that are not generally observable. Then, dealers trade among themselves. Thus, each dealer...

This paper shows there is a tradeoff between the speed of revelation and risk sharing in markets organized like spot foreign exchange. We show this by examining the following question: Would risk-averse dealers prefer ex-ante that order flow were observable? We answer this question with the...