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New Funds, Familiar Fears : Do Exchange Traded Funds Make Markets Less Stable? Part I, Liquidity Illusions

Clements, Ryan - 2020

Since the 2008 global financial crisis, exchange traded funds (ETF) have exploded in popularity. An ETF is an investment product that tracks an underlying index or basket of assets, like securities, bonds or commodities, but unlike mutual funds it trades like a stock. Many view ETFs as superior...

Persistent link: https://www.econbiz.de/10012849997

WSJ Category Kings - the impact of media attention on consumer and mutual fund investment decisions

Kaniel, Ron; Parham, Robert - 2015

We exploit a novel natural experiment to establish a clear causal relation between media attention and consumer investment behavior. Our ﬁndings indicate a 31 percent local average increase in quarterly capital ﬂows into mutual funds mentioned in a prominent Wall Street Journal “Category...

Persistent link: https://www.econbiz.de/10011807999

New Funds, Familiar Fears : Are Exchange Traded Funds Making Markets Less Stable? Part II – Interaction Risks

Clements, Ryan - 2020

Exchange Traded Funds (ETFs) – tradeable investments that provide a return linked to an underlying index or basket of assets – are likely the most successful financial product since the 2008 crisis. Over the last decade they've experienced remarkable growth. Yet these products may also be...

Persistent link: https://www.econbiz.de/10012846813

Implied rates of return, the discount rate effect, and market risk premia

Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22

risk premia. The extent of this bias is substantial as verified by a bootstrap approach. We present an alternative … estimation equation for future expected one-period returns based on current and past implied rates of return that is superior to … simple estimators based on historical returns. The reason for this superiority is a lower variance of estimation results and …

Persistent link: https://www.econbiz.de/10009487229

Psychological Biases Abilities on Constructing Weekend Anomaly

Brahmana, Rayenda Khresna - 2011

psychological approach whereas the affection bias (weather-induced mood, and moon-induced mood), and cognition bias (attention bias …

Persistent link: https://www.econbiz.de/10013121294

Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows

Ederington, Louis H. - 2011

We find that aggregate net equity fund flows are strongly negatively correlated with changes in expected future stock market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale decisions by risk perceptions, we further find that...

Persistent link: https://www.econbiz.de/10013128717

Offsetting Disagreement and Security Prices

Huang, Shiyang - 2020

We propose that investor beliefs frequently “cross” in the sense that an investor may like company A, but dislike company B, while another investor may like company B, but dislike company A. Belief-crossing makes it almost impossible to construct a portfolio that is comprised solely of every...

Persistent link: https://www.econbiz.de/10012856790

Regime-switching determinants of mutual fund performance in South Africa

Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies : open access journal 9 (2021) 4, pp. 1-20

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...

Persistent link: https://www.econbiz.de/10012799837

Trading on Gender Heterogeneity in Analyst Recommendations : A Profitable Investment Strategy?

Bosquet, Katrien - 2011

Using analysts' stock recommendations this paper shows gender heterogeneity in investment advice. The odds for female … cannot profit from the observed gender differences. Comparing monthly rebalanced portfolios of stocks recommended by female … analysts and by male analysts, we conclude that the investor can not convert the observed gender differences in recommendations …

Persistent link: https://www.econbiz.de/10013119441