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

38 Pages Posted: 19 Aug 2000 Last revised: 2 Apr 2001

See all articles by Graciela Kaminsky

Graciela Kaminsky

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

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

Date Written: August 2000

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.

Suggested Citation

Kaminsky, Graciela and Lyons, Richard K. and Schmukler, Sergio, Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets (August 2000). NBER Working Paper No. w7855. Available at SSRN: https://ssrn.com/abstract=239602

Graciela Kaminsky

National Bureau of Economic Research (NBER)

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George Washington University - Department of Economics ( email )

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Richard K. Lyons

University of California, Berkeley ( email )

Haas School of Business
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National Bureau of Economic Research (NBER)

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Sergio Schmukler (Contact Author)

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

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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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