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

Posted: 10 Dec 2004

See all articles by Graciela Kaminsky

Graciela Kaminsky

George Washington University - Department of Economics; National Bureau of Economic Research (NBER)

Richard K. Lyons

University of California, Berkeley; National Bureau of Economic Research (NBER)

Sergio L. Schmukler

World Bank - Development Research Group (DECRG)

Multiple version iconThere are 4 versions of this paper

Abstract

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.

Keywords: Mutual funds, managers, investors, trading strategies, emerging markets, momentum, feedback trading, crisis, contagion

JEL Classification: F3, G1, G2

Suggested Citation

Kaminsky, Graciela and Lyons, Richard K. and Schmukler, Sergio, Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets. Available at SSRN: https://ssrn.com/abstract=629246

Graciela Kaminsky

George Washington University - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Richard K. Lyons

University of California, Berkeley ( email )

Haas School of Business
Berkeley, CA 94720
United States
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510-643-1420 (Fax)

National Bureau of Economic Research (NBER)

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United States

Sergio Schmukler (Contact Author)

World Bank - Development Research Group (DECRG) ( email )

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MSN MC 3-301
Washington, DC 20433
United States
202-458-4167 (Phone)
202-522-3518 (Fax)

HOME PAGE: http://www.worldbank.org/en/about/people/s/sergio-schmukler

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