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

Graciela Kaminsky (), Richard Lyons () and Sergio Schmukler

No 7855, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper addresses the trading strategies of mutual funds in emerging markets. The data set we develop permits analysis of these strategies at the level of individual portfolios. Methodoloically, a novel feature is our disentangling the behavior of managers from that of underlying investors. For both managers and investors, we 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 non-crisis, and stronger for fund managers. Investors also engage in contagion trading, i.e., they sell assets from one country when asset prices fall in another.

JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2000-08
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Published as Kaminsky, Graciela, Richard K. Lyons and Sergio L. Schmukler. "Managers, Investors, Crises: Mutual Fund Strategies In Emerging Markets," Journal of International Economics, 2004, v64(1,Oct), 113-134.

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Related works:
Journal Article: Managers, investors, and crises: mutual fund strategies in emerging markets (2004)
Working Paper: Managers, investors, and crises: mutual fund strategies in emerging markets (2000)
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