Mutual Fund Flows And Performance Streaks How Mutual Fund Selection Is Driven By Behavioural Biases
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Mutual Fund Flows And Performance Streaks How Mutual Fund Selection Is Driven By Behavioural Biases
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Author : Kai Aschick
language : en
Publisher:
Release Date : 2017
Mutual Fund Flows And Performance Streaks How Mutual Fund Selection Is Driven By Behavioural Biases written by Kai Aschick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
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.
The Investor S Dilemma
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Author : Louis Lowenstein
language : en
Publisher: John Wiley & Sons
Release Date : 2008-03-31
The Investor S Dilemma written by Louis Lowenstein and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-31 with Business & Economics categories.
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.
Essays On The Trading Behavior Of Mutual Fund Managers
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Author : Gjergji Cici
language : en
Publisher:
Release Date : 2004
Essays On The Trading Behavior Of Mutual Fund Managers written by Gjergji Cici and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Mutual Fund Performance And Performance Persistence
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Author : Peter Lückoff
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-01-13
Mutual Fund Performance And Performance Persistence written by Peter Lückoff and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-13 with Business & Economics categories.
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.
Is Money Really Smart
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Author : Russ Wermers
language : en
Publisher:
Release Date : 2003
Is Money Really Smart written by Russ Wermers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Investments categories.
Selling Winners Holding Losers
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Author : Lily Xu
language : en
Publisher:
Release Date : 2009
Selling Winners Holding Losers written by Lily Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
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.
Stocks Bonds Bills And Inflation
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Author : Roger G. Ibbotson
language : en
Publisher:
Release Date : 1989
Stocks Bonds Bills And Inflation written by Roger G. Ibbotson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Actions (Titres de société) - Prix - Prévision categories.
The Handbook Of Equity Market Anomalies
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Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
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.
The Oxford Handbook Of Hedge Funds
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Author : Douglas Cumming
language : en
Publisher: Oxford University Press
Release Date : 2021
The Oxford Handbook Of Hedge Funds written by Douglas Cumming and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Business & Economics categories.
This handbook provides a comprehensive look at the hedge fund industry from a global perspective.
Handbook Of The Economics Of Finance
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Author : G. Constantinides
language : en
Publisher: Elsevier
Release Date : 2003-11-04
Handbook Of The Economics Of Finance written by G. Constantinides and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-11-04 with Business & Economics categories.
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.
