Managers, investors, and crises: mutual fund strategies in emerging markets

被引：89

作者：

Kaminsky, G

Lyons, RK ^{[1
]}

Schmukler, SL

机构：

[1] Univ Calif Berkeley, George Washington Univ, Berkeley, CA 94720 USA

[2] World Bank, Berkeley, CA 94720 USA

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 2004年 / 64卷 / 01期

基金：

美国国家科学基金会;

关键词：

mutual funds; managers; investors; trading strategies; emerging markets; momentum; feedback trading; crisis; contagion;

D O I：

10.1016/S0022-1996(03)00075-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the trading strategies of mutual funds in emerging markets. We develop a method for disentangling the behavior of fund managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: mutual funds systematically sell losers and buy winners. Selling current losers and buying current winners is stronger during crises, and equally strong for managers and investors. Selling past losers and buying past winners is stronger for managers. Managers and investors also practice contagion trading-they sell (buy) assets from one country when asset prices fall (rise) in another. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：113 / 134

页数：22

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