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  • 1995-1999  (2)
  • Schmukler, Sergio  (2)
  • Washington, D.C : The World Bank  (2)
  • Bielefeld : transcript
  • Interest  (2)
  • 1
    Online Resource
    Online Resource
    Managers, Investors, and Crises : Mutual Fund Strategies in Emerging Markets (1999)
    Washington, D.C : The World Bank
    Details
    Language: English
    Pages: Online-Ressource (1 online resource (42 p.))
    Edition: Online-Ausg. World Bank E-Library Archive
    Parallel Title: Schmukler, Sergio Managers, Investors, and Crises
    Keywords: Budget ; Debt Markets ; Emerging Market ; Emerging Markets ; Finance and Financial Sector Development ; Financial Crisis ; Financial Support ; Fund Managers ; Hedge ; Hedge Funds ; Interest ; Investor ; Investors ; Lending ; Mutual Fund ; Mutual Fund Strategies ; Mutual Funds ; Pension ; Pension Funds ; Portfolio ; Trading ; Warrants ; Budget ; Debt Markets ; Emerging Market ; Emerging Markets ; Finance and Financial Sector Development ; Financial Crisis ; Financial Support ; Fund Managers ; Hedge ; Hedge Funds ; Interest ; Investor ; Investors ; Lending ; Mutual Fund ; Mutual Fund Strategies ; Mutual Funds ; Pension ; Pension Funds ; Portfolio ; Trading ; Warrants
    Abstract: July 2000 - This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another). Kaminsky, Lyons, and Schmukler 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 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 noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries. The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. The authors may be contacted at gracielagwu.edu, lyons@haas.berkeley.edu, or sschmukler@worldbank.org
    URL: Volltext  (Deutschlandweit zugänglich)
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    MPI Ethno. Forsch.
  • 2
    Online Resource
    Online Resource
    Predicting Currency Fluctuations and Crises : Do Resident Firms Have an Informational Advantage? (1999)
    Washington, D.C : The World Bank
    Details
    Language: English
    Pages: Online-Ressource (1 online resource (40 p.))
    Edition: Online-Ausg. World Bank E-Library Archive
    Parallel Title: Schmukler, Sergio Predicting Currency Fluctuations and Crises
    Keywords: Asymmetric Information ; Balance Of Payments ; Balance Of Payments Crises ; Currencies and Exchange Rates ; Currency ; Debt Markets ; Devaluation ; E-Business ; Emerging Markets ; Exchange ; Exchange Rate ; Finance and Financial Sector Development ; Financial Crises ; Financial Literacy ; Financial Markets ; Future ; Interest ; Interest Rate ; Interest Rate Differentials ; International Cred International Financial Markets ; Investors ; Local Business ; Local Investors ; Mutual Funds ; Private Sector Development ; Sovereign Debt ; Asymmetric Information ; Balance Of Payments ; Balance Of Payments Crises ; Currencies and Exchange Rates ; Currency ; Debt Markets ; Devaluation ; E-Business ; Emerging Markets ; Exchange ; Exchange Rate ; Finance and Financial Sector Development ; Financial Crises ; Financial Literacy ; Financial Markets ; Future ; Interest ; Interest Rate ; Interest Rate Differentials ; International Cred International Financial Markets ; Investors ; Local Business ; Local Investors ; Mutual Funds ; Private Sector Development ; Sovereign Debt
    Abstract: December 1999 - Markets have had limited success predicting crises and might do better by drawing on private information available to resident enterprise managers, who seem to know better than markets about future movements in exchange rates. Kaufmann, Mehrez, and Schmukler investigate whether resident enterprise managers have an informational advantage about the countries in which they work. They propose a method for extracting information available to resident managers but unknown to investors and forecasters. They test their hypothesis of informational advantage using a unique data set, the Global Competitiveness Survey. The survey asks local managers about their outlook for the country in which they reside. They find that local managers do have useful private information. Local managers' responses improve on conventional forecasts of future volatility and changes in the exchange rate, which are based on economic fundamentals or interest rate differentials. They find that the local business community perceived in advance the recent crises in the Republic of Korea, Russia, and Thailand, but not those in Indonesia and Malaysia. Markets have had limited success predicting crises and might do better by drawing on private information available to resident enterprise managers, who seem to know better than markets about future movements in exchange rates. This paper - a product of Governance, Regulation, and Finance, World Bank Institute - is part of a larger effort in the institute to understand the roles of transparency and governance. The authors may be contacted at dkaufmannworldbank.org, mehrezg@gunet.georgetown.edu, or sschmukler@worldbank.org
    URL: Volltext  (Deutschlandweit zugänglich)
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    MPI Ethno. Forsch.
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