Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Washington, D.C
The World Bank
1999
|
| Schlagwörter: | |
| Links: | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-2399 |
| Beschreibung: | Weitere Ausgabe: Schmukler, Sergio: Managers, Investors, and Crises |
| Umfang: | 1 Online-Ressource (42 Seiten) |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV040617037 | ||
| 003 | DE-604 | ||
| 005 | 20250211 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 121206s1999 xxu o|||| 00||| eng d | ||
| 035 | |a (ZDB-1-WBA)093209843 | ||
| 035 | |a (OCoLC)874226978 | ||
| 035 | |a (DE-599)GBVNLM00544599X | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-12 |a DE-1102 |a DE-1051 |a DE-521 |a DE-863 |a DE-862 |a DE-522 |a DE-858 |a DE-573 |a DE-860 |a DE-1046 |a DE-1047 |a DE-Aug4 |a DE-2070s |a DE-M347 |a DE-1049 |a DE-898 |a DE-128 |a DE-M352 |a DE-70 |a DE-92 |a DE-150 |a DE-155 |a DE-22 |a DE-91 |a DE-384 |a DE-473 |a DE-19 |a DE-739 |a DE-20 |a DE-703 |a DE-706 |a DE-355 |a DE-29 |a DE-859 |a DE-Re13 |a DE-523 | ||
| 100 | 1 | |a Schmukler, Sergio L. |e Verfasser |0 (DE-588)124322506 |4 aut | |
| 245 | 1 | 0 | |a Managers, Investors, and Crises |b Mutual Fund Strategies in Emerging Markets |c Schmukler, Sergio |
| 264 | 1 | |a Washington, D.C |b The World Bank |c 1999 | |
| 300 | |a 1 Online-Ressource (42 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 500 | |a Weitere Ausgabe: Schmukler, Sergio: Managers, Investors, and Crises | ||
| 520 | 1 | |a July 2000 - 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 Schmukler 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 null 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. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries. | |
| 520 | 1 | |a [Fortsetzung 1. Abstract] The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. The authors may be contacted at graciela@gwu.edu, lyons@haas.berkeley.edu, or sschmukler@worldbank.org | |
| 534 | |c 1999 | ||
| 653 | |a Budget | ||
| 653 | |a Debt Markets | ||
| 653 | |a Emerging Market | ||
| 653 | |a Emerging Markets | ||
| 653 | |a Finance and Financial Sector Development | ||
| 653 | |a Financial Crisis | ||
| 653 | |a Financial Support | ||
| 653 | |a Fund Managers | ||
| 653 | |a Hedge | ||
| 653 | |a Hedge Funds | ||
| 653 | |a Interest | ||
| 653 | |a Investor | ||
| 653 | |a Investors | ||
| 653 | |a Lending | ||
| 653 | |a Mutual Fund | ||
| 653 | |a Mutual Fund Strategies | ||
| 653 | |a Mutual Funds | ||
| 653 | |a Pension | ||
| 653 | |a Pension Funds | ||
| 653 | |a Portfolio | ||
| 653 | |a Trading | ||
| 653 | |a Warrants | ||
| 700 | 1 | |a Lyons, Richard K. |d 1961- |e Verfasser |0 (DE-588)124547990 |4 aut | |
| 776 | 0 | 8 | |i Reproduktion von |a Schmukler, Sergio |t Managers, Investors, and Crises |d 1999 |
| 856 | 4 | 0 | |u http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-2399 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-1-WBA | ||
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-025444536 | |
Datensatz im Suchindex
| DE-BY-TUM_katkey | 1899453 |
|---|---|
| _version_ | 1823807850237919232 |
| adam_text | |
| any_adam_object | |
| author | Schmukler, Sergio L. Lyons, Richard K. 1961- |
| author_GND | (DE-588)124322506 (DE-588)124547990 |
| author_facet | Schmukler, Sergio L. Lyons, Richard K. 1961- |
| author_role | aut aut |
| author_sort | Schmukler, Sergio L. |
| author_variant | s l s sl sls r k l rk rkl |
| building | Verbundindex |
| bvnumber | BV040617037 |
| collection | ZDB-1-WBA |
| ctrlnum | (ZDB-1-WBA)093209843 (OCoLC)874226978 (DE-599)GBVNLM00544599X |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV040617037</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20250211</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">121206s1999 xxu o|||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-1-WBA)093209843</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)874226978</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBVNLM00544599X</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-1051</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-863</subfield><subfield code="a">DE-862</subfield><subfield code="a">DE-522</subfield><subfield code="a">DE-858</subfield><subfield code="a">DE-573</subfield><subfield code="a">DE-860</subfield><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield><subfield code="a">DE-Aug4</subfield><subfield code="a">DE-2070s</subfield><subfield code="a">DE-M347</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-898</subfield><subfield code="a">DE-128</subfield><subfield code="a">DE-M352</subfield><subfield code="a">DE-70</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-150</subfield><subfield code="a">DE-155</subfield><subfield code="a">DE-22</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-859</subfield><subfield code="a">DE-Re13</subfield><subfield code="a">DE-523</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Schmukler, Sergio L.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124322506</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Managers, Investors, and Crises</subfield><subfield code="b">Mutual Fund Strategies in Emerging Markets</subfield><subfield code="c">Schmukler, Sergio</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Washington, D.C</subfield><subfield code="b">The World Bank</subfield><subfield code="c">1999</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (42 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Weitere Ausgabe: Schmukler, Sergio: Managers, Investors, and Crises</subfield></datafield><datafield tag="520" ind1="1" ind2=" "><subfield code="a">July 2000 - 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 Schmukler 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 null 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. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries.</subfield></datafield><datafield tag="520" ind1="1" ind2=" "><subfield code="a">[Fortsetzung 1. Abstract] The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. The authors may be contacted at graciela@gwu.edu, lyons@haas.berkeley.edu, or sschmukler@worldbank.org</subfield></datafield><datafield tag="534" ind1=" " ind2=" "><subfield code="c">1999</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Budget</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Debt Markets</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Emerging Market</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Emerging Markets</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Finance and Financial Sector Development</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Financial Crisis</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Financial Support</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Fund Managers</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Hedge</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Hedge Funds</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Interest</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Investor</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Investors</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Lending</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Mutual Fund</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Mutual Fund Strategies</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Mutual Funds</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Pension</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Pension Funds</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Portfolio</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Trading</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">Warrants</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Lyons, Richard K.</subfield><subfield code="d">1961-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124547990</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Reproduktion von</subfield><subfield code="a">Schmukler, Sergio</subfield><subfield code="t">Managers, Investors, and Crises</subfield><subfield code="d">1999</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-2399</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-WBA</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-025444536</subfield></datafield></record></collection> |
| id | DE-604.BV040617037 |
| illustrated | Not Illustrated |
| indexdate | 2025-02-11T11:01:37Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025444536 |
| oclc_num | 874226978 |
| open_access_boolean | |
| owner | DE-12 DE-1102 DE-1051 DE-521 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-522 DE-858 DE-573 DE-860 DE-1046 DE-1047 DE-Aug4 DE-2070s DE-M347 DE-1049 DE-898 DE-BY-UBR DE-128 DE-M352 DE-70 DE-92 DE-150 DE-155 DE-BY-UBR DE-22 DE-BY-UBG DE-91 DE-BY-TUM DE-384 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-739 DE-20 DE-703 DE-706 DE-355 DE-BY-UBR DE-29 DE-859 DE-Re13 DE-BY-UBR DE-523 |
| owner_facet | DE-12 DE-1102 DE-1051 DE-521 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-522 DE-858 DE-573 DE-860 DE-1046 DE-1047 DE-Aug4 DE-2070s DE-M347 DE-1049 DE-898 DE-BY-UBR DE-128 DE-M352 DE-70 DE-92 DE-150 DE-155 DE-BY-UBR DE-22 DE-BY-UBG DE-91 DE-BY-TUM DE-384 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-739 DE-20 DE-703 DE-706 DE-355 DE-BY-UBR DE-29 DE-859 DE-Re13 DE-BY-UBR DE-523 |
| physical | 1 Online-Ressource (42 Seiten) |
| psigel | ZDB-1-WBA |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | The World Bank |
| record_format | marc |
| spellingShingle | Schmukler, Sergio L. Lyons, Richard K. 1961- Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_auth | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_exact_search | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets |
| title_full | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio |
| title_fullStr | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio |
| title_full_unstemmed | Managers, Investors, and Crises Mutual Fund Strategies in Emerging Markets Schmukler, Sergio |
| title_short | Managers, Investors, and Crises |
| title_sort | managers investors and crises mutual fund strategies in emerging markets |
| title_sub | Mutual Fund Strategies in Emerging Markets |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-2399 |
| work_keys_str_mv | AT schmuklersergiol managersinvestorsandcrisesmutualfundstrategiesinemergingmarkets AT lyonsrichardk managersinvestorsandcrisesmutualfundstrategiesinemergingmarkets |