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Mutual Fund Flows And Performance Streaks How Mutual Fund Selection Is Driven By Behavioural Biases
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Book Synopsis Mutual Fund Flows and Performance Streaks - How Mutual Fund Selection is Driven by Behavioural Biases by : Kai Aschick
Download or read book Mutual Fund Flows and Performance Streaks - How Mutual Fund Selection is Driven by Behavioural Biases written by Kai Aschick and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to existing literature by analysing the role of performance streaks in the US mutual fund industry. Existing research suggests that performance streaks, i.e. multiple consecutive months of positive or negative performance, are an important determinant of mutual fund flows. My dataset comprises monthly returns and net-flows from US equity mutual funds from 1996 through 2015. My first analysis shows that streaks are not an indication of performance persistence and should not be used in investment decisions. Next, I develop two forecasting models using streaks based on several different performance metrics, such as excess returns and CAPM-alphas. The first one is a probit model that forecasts future investor sentiment, measured by the sign of future net-flows. This model is very robust to different time period specifications. The second one is a multiple linear regression model that forecasts actual future net- flows. The performance of this model strongly depends on the time period specified, as it performs poorly following the financial crisis. In both models the best-performing specification uses streaks based on CAPM-alphas. However, a Shapley decomposition reveals that streaks are, despite being statistically significant, the least-important predictors of future net-flows. Instead, lagged net-flows are the most-important determinants of future net-flows. The results of this thesis suggest that active streaks tip the scales when investors decide between two or more funds with a comparable track record. Hence, the results presented are ambiguous regarding investor rationality.
Book Synopsis The Investor's Dilemma by : Louis Lowenstein
Download or read book The Investor's Dilemma written by Louis Lowenstein and published by John Wiley & Sons. This book was released on 2008-03-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on cutting-edge research by leading corporate critic Louis Lowenstein, The Investor’s Dilemma: How Mutual Funds Are Betraying Your Trust and What to Do About It reveals how highly overpaid fund sponsors really operate and walks you through the conflicts of interest found throughout the industry. Page by page, you’ll discover the real problems within the world of mutual funds and learn how to overcome them through a value-oriented approach to this market.
Book Synopsis Mutual Fund Performance and Performance Persistence by : Peter Lückoff
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Book Synopsis Essays on the Trading Behavior of Mutual Fund Managers by : Gjergji Cici
Download or read book Essays on the Trading Behavior of Mutual Fund Managers written by Gjergji Cici and published by . This book was released on 2004 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Determinants of Investment Flows by : Galla Salganik-Shoshan
Download or read book The Determinants of Investment Flows written by Galla Salganik-Shoshan and published by . This book was released on 2016 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the fund selection criteria used by investors in retail mutual funds with the criteria of investors in institutional mutual funds. I find that, compared with investors of retail mutual funds, clients of institutional mutual funds use more quantitatively sophisticated criteria such as risk-adjusted return measures and tracking error, demonstrate stronger momentum-driven and herding behaviors, and are less sensitive to fund expense ratio. In addition, I provide evidence that the previously-documented convex form of the flow-performance relationship is driven mostly by retail funds.
Book Synopsis Mutual Fund Selection by : Moshe Levy
Download or read book Mutual Fund Selection written by Moshe Levy and published by Palgrave Macmillan. This book was released on 2024-10-13 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vast majority of investors in the capital market do so, at least in part, via mutual funds. In the US market alone, there are currently thousands of mutual funds to choose from. Thus, the task of mutual fund selection is of central importance. It is a notoriously difficult task, because the past return parameters are very noisy estimates of the future parameters. This book presents the state-of-the-art research in this field. It describes recent academic findings and translates them into practical guidelines for mutual fund selection, and will be of interest to researchers alongside professional investors and fund ranking agencies.
Book Synopsis Selling Winners, Holding Losers by : Lily Xu
Download or read book Selling Winners, Holding Losers written by Lily Xu and published by . This book was released on 2009 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether U.S. equity mutual funds exhibit a disposition bias, the tendency to sell winners and hold losers, and how this influences performance, investor flows and fund survival. About 30% of all funds exhibit some degree of disposition behavior. Funds with a disposition bias underperform funds that are not disposition prone by 4-6% per year. Moreover, even after controlling for performance, tax overhang and other factors that potentially affect flows, funds with a disposition bias attract significantly smaller flows than other funds. These results suggest that performance and tax efficiency are all important to mutual fund investors. Rational explanations for a disposition bias are not supported by the evidence. However, we find that mutual fund investors are smart enough to minimize investment in disposition-prone funds. As a result, these funds have significantly higher rates of failure than other funds, thereby potentially reducing the impact of irrational trading behavior on security prices.
Book Synopsis Three Perspectives of Mutual Fund Performance by : Steve A. Nenninger
Download or read book Three Perspectives of Mutual Fund Performance written by Steve A. Nenninger and published by . This book was released on 2009 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines mutual fund performance from the points of view of three distinct, but interrelated parties: individual investors, financial advisors, and the boards of directors of mutual fund companies. In the first essay, the flow-performance sensitivity of no-load funds and the three main classes of load fund shares are compared, assuming investment advisors are more likely to guide the decision-making process of load fund investors. In the second essay, the timing of the decision to replace fund managers is examined. In the third essay, performance of actively managed mutual funds are separately examined during good and bad states of the market to test whether mutual funds perform differently under different market conditions.
Book Synopsis Is Money Really "smart'? by : Russ Wermers
Download or read book Is Money Really "smart'? written by Russ Wermers and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Preference Analysis of Mutual Fund Investors in Germany and United States During Covid-19 by : Maryna Belevtsova
Download or read book Risk Preference Analysis of Mutual Fund Investors in Germany and United States During Covid-19 written by Maryna Belevtsova and published by . This book was released on 2021 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of behavioral finance developed in recent years into a fast-growing area of research. It doesnt replace traditional finance assumptions but rather creates a different view-point that helps filling gaps that cannot be explained by traditional theories. Opening up to the idea that emotions and biases effect financial decisions allows us to explain certain anomalies in the markets. This thesis explores the idea that cultural differences impact investment decisions and the levels of risk aversion investors have. By analyzing, which variables drive mutual fund flows in Germany and United States during Covid-19 recession, differences can be detected. German mutual fund investors exhibit a higher level of risk aversion and are more driven by perceived losses. American investors are driven by perceived gains as they choose riskier fund classes in times of increased uncertainty created by Covid-19. This thesis focuses only on two nations. In order to say with certainty that culture influences the level of risk aversion a comparison between more countries should be considered for future research. Nonetheless, this thesis finds significant evidence that differences between German and American investors are present in the examined timeframe. *****The field of behavioral finance developed in recent years into a fast-growing area of research. It doesnt replace traditional finance assumptions but rather creates a different view-point that helps filling gaps that cannot be explained by traditional theories. Opening up to the idea that emotions and biases effect financial decisions allows us to explain certain anomalies in the markets. This thesis explores the idea that cultural differences impact investment decisions and the levels of risk aversion investors have. By analyzing, which variables drive mutual fund flows in Germany and United States during Covid-19 recession, differences can be detected. German mutual fund investors exhibit a higher level of risk aversion and
Book Synopsis Inferring Investor Behavior from Fund Flow Patterns of Czech Open-End Mutual Funds by : Thadavillil Jithendranathan
Download or read book Inferring Investor Behavior from Fund Flow Patterns of Czech Open-End Mutual Funds written by Thadavillil Jithendranathan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies two investor behavioral theories - gambler's fallacy and hot-hand fallacy - using Czech open-end fund data. Weekly net fund flows indicate that investors tend to bring more money into the funds based on their past performance, which can be construed as an indication of hot-hand fallacy. With monthly data there is weak indication that investors in certain sectors tend to reduce the inflow into funds that had superior performance in the past months, which may indicate the gambler's fallacy. The study indicates two sides of the Czech investor's behavior. In the short run they are willing to chase the returns, but in the long run show their conservative streak by avoiding return chasing.
Book Synopsis Competitor Scale and Mutual Fund Behavior by : Laszlo Pal Jakab
Download or read book Competitor Scale and Mutual Fund Behavior written by Laszlo Pal Jakab and published by . This book was released on 2018 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the effects of competition on the investment behavior and performance of active mutual funds. I find that funds respond to increased competitor scale by curtailing costly active management. To establish causality, I exploit quasi-exogenous variation in fund flows created by a natural experiment-the 2003 mutual fund scandal. Funds whose competitors were the most affected by the scandal expand active management and perform better after the scandal. Interpreting the findings through the lens of models of decreasing returns to scale indicates information asymmetry between fund managers and outside investors.
Book Synopsis Investment Decisions Under Ambiguity by : C. Wei Li
Download or read book Investment Decisions Under Ambiguity written by C. Wei Li and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to fund performance. Our analysis is motivated by theoretical models of decision making by ambiguity-averse investors. A key implication of the models is that when investors face information signals of uncertain quality, they place a greater weight on the worst signal. We find strong empirical support for this prediction in the form of heightened sensitivity of investor fund flows to the worst performance measure across multiple horizons. This effect is particularly pronounced for retail funds in contrast to institutional funds.
Book Synopsis Stocks, Bonds, Bills, and Inflation by : Roger G. Ibbotson
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Book Synopsis The Oxford Handbook of Hedge Funds by : Douglas Cumming
Download or read book The Oxford Handbook of Hedge Funds written by Douglas Cumming and published by Oxford University Press. This book was released on 2021 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook provides a comprehensive look at the hedge fund industry from a global perspective.
