Daily Momentum And Contrarian Behavior Of Index Fund Investors
نویسندگان
چکیده
منابع مشابه
Momentum and Contrarian Profits and Macroeconomic Fundamentals
We show that the existence of momentum and contrarian profits imposes restrictions on stochastic discount factors used to price stocks in equity markets. For several widely used asset pricing models, we demonstrate that these restrictions imply testable forms of intertemporal dependence in macroeconomic fundamentals such as consumption growth rate. Extensive empirical analysis provides supporti...
متن کاملProfitability of Contrarian and Momentum Strategies and Market Stability
This paper proposes a continuous-time heterogeneous agent model of investor behaviour consisting of fundamentalist, contrarian, momentum and market maker strategies to study their impact on market stability and profitability. The underlying stochastic delay integro-differential equation model provides a unified approach to model different time horizons of momentum and contrarian strategies, whi...
متن کاملAsset allocation decisions of mutual fund investors
I extend the Warther (1995) evidence to show that stock market returns are related to contemporaneous flows into mutual funds that invest in risky stocks and bonds, but are unrelated to flows into funds that invest in safer stocks and bonds. I examine whether common sources of predictability in returns and flows can explain this contemporaneous relation. I find that variables with predictive ab...
متن کاملThe Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors
The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and autocorrelation are taken into account. Sh...
متن کاملInvestors’ Differential Response to Managed Fund Performance
Several studies measuring the flow of monies into and out of U.S. mutual funds note a convexity in the performance-flow relation and offer several explanations for the apparent investor insensitivity to poor performance. In this study investor response to past performance is measured in a different setting: the Australian wholesale funds market. The results confirm that, like the U.S. mutual fu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.199088