Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets

Kaminsky, Graciela ; Lyons, Richard ; Schmukler, Sergio

World Bank, Washington, DC

关键词: ASSET PRICING;    ASSET VALUE;    ASSETS;    BANKING SECTOR;    BENCHMARK;   

DOI  :  10.1596/1813-9450-2399
RP-ID  :  WPS2399

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The authors address the tradingstrategies of mutual funds in emerging markets. The data setthey develop permits analyses of these strategies at thelevel of individual portfolios. A methodologically novelfeature of their analysis: they disentangle the behavior offund managers from that of investors. For both managers andinvestors, they strongly reject the 0 hypothesis of nomomentum trading. Funds' momentum trading is positive:they systematically buy winners and sell losers.Contemporaneous momentum trading (buying current winners andselling current losers) is stronger during crises, andstronger for fund investors than for fund managers. Laggedmomentum trading (buying past winners and selling pastlosers) is stronger during noncrises, and stronger for fundmanagers. Investors also engage in contagion trading-sellingassets from one country when asset prices fall in another.These findings are based on data about mutual funds thatrepresent only 10 percent of the market capitalization inthe countries considered. Were it a larger share of themarket, finding counterparties for their trades (theinvestors who buy when they sell and sell when they buy)would be difficult-and the premise that funds respond tocontemporaneous returns rather than causing them wouldbecome tenuous.