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

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dc.contributor.authorKaminsky, Graciela
dc.contributor.authorLyons, Richard
dc.contributor.authorSchmukler, Sergio L.
dc.date.accessioned2014-08-28T17:30:37Z
dc.date.available2014-08-28T17:30:37Z
dc.date.issued2000-07
dc.description.abstractThe authors address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the 0 hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous.en
dc.identifierhttp://documents.worldbank.org/curated/en/2000/07/443624/managers-investors-crises-mutual-fund-strategies-emerging-markets
dc.identifier.doi10.1596/1813-9450-2399
dc.identifier.urihttps://hdl.handle.net/10986/19818
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 2399
dc.rightsCC BY 3.0 IGO
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectASSET PRICING
dc.subjectASSET VALUE
dc.subjectASSETS
dc.subjectBANKING SECTOR
dc.subjectBENCHMARK
dc.subjectBENCHMARKS
dc.subjectBONDS
dc.subjectCAPITAL FLOWS
dc.subjectCAPITAL INFLOWS
dc.subjectCOMMODITY PRICES
dc.subjectCOMPETITIVENESS
dc.subjectCONTAGION
dc.subjectCURRENT ACCOUNT
dc.subjectDEBT
dc.subjectDEBT CRISIS
dc.subjectDEVALUATION
dc.subjectDIVIDENDS
dc.subjectEMERGING MARKETS
dc.subjectEXPECTED RETURNS
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL SUPPORT
dc.subjectFOREIGN INVESTORS
dc.subjectHEDGE FUNDS
dc.subjectINSTITUTIONAL INVESTORS
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL FINANCE
dc.subjectLIQUIDITY
dc.subjectMACROECONOMICS
dc.subjectMUTUAL FUND
dc.subjectMUTUAL FUNDS
dc.subjectPORTFOLIO
dc.subjectPORTFOLIOS
dc.subjectRANDOM WALK
dc.subjectSECURITIES
dc.subjectSTATISTICAL INFERENCE
dc.subjectSTOCK PRICES
dc.subjectTRADING
dc.subjectTRADING STRATEGIES
dc.subjectTREASURY BILLS
dc.subjectVOLATILITY
dc.subjectWARRANTS
dc.titleManagers, Investors, and Crises : Mutual Fund Strategies in Emerging Marketsen
dspace.entity.typePublication
okr.crossref.titleManagers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
okr.date.disclosure2000-07-31
okr.date.doiregistration2025-04-10T10:27:09.703522Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2000/07/443624/managers-investors-crises-mutual-fund-strategies-emerging-markets
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeTransport and ICT
okr.globalpracticeFinance and Markets
okr.globalpracticeFinance and Markets
okr.guid678181468739465948
okr.identifier.doi10.1596/1813-9450-2399
okr.identifier.externaldocumentum000094946_00081406502628
okr.identifier.internaldocumentum443624
okr.identifier.reportWPS2399
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2000/08/26/000094946_00081406502628/Rendered/PDF/multi_page.pdfen
okr.sectorCapital Markets Development
okr.sectorFinance
okr.topicEconomic Theory and Research
okr.topicFinance and Financial Sector Development::Financial Intermediation
okr.topicMacroeconomics and Economic Growth::Markets and Market Access
okr.topicInternational Terrorism and Counterterrorism
okr.topicInfrastructure Economics and Finance::Infrastructure Finance
okr.topicPayment Systems and Infrastructure
okr.topicFinancial Crisis Management and Restructuring
okr.unitMacroeconomics and Growth, Development Research Group
okr.volume1
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relation.isAuthorOfPublication.latestForDiscoveryad1ad457-a974-53de-815c-c7010e0fdd74
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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