The authors 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...
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INFORMATION
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2000/07/31
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Document de travail de recherche sur les politiques
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WPS2399
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1
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1
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2010/07/01
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Disclosed
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Managers, investors, and crises : mutual fund strategies in emerging markets
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types of market participant