Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece
This study examines the trading behaviour of mutual fund investors, its medium-term profitability and its impact on the performance of individual funds. An important yet thinly investigated subject is examined under the prism of a small emerging stock market growing to maturity, during both a strong bull and a violent bear market. The findings of this study are insightful: Mutual fund investors do not chase past returns. The empirical evidence also suggests that they do not hunt past superior performance. However, they do seem to employ a current-performance momentum screen to pick their funds, while their trading behaviour doesn't seem to affect the concurrent performance of the fund. Finally, it is claimed that mutual fund investors are perverse fund pickers. The suggested conclusion can only be that money is inefficiently invested in mutual funds.
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Volume (Year): 11 (2004)
Issue (Month): 2 ()
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References listed on IDEAS
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- Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003.
"Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows,"
NBER Working Papers
9470, National Bureau of Economic Research, Inc.
- Stephen Brown & William Goetzmann & Takato Hiraki & Noriyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm274, Yale School of Management, revised 01 Apr 2008.
- Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
- Massimo Massa & William Goetzmann & K. Rouwenhorst, 2000.
"Behavioral Factors in Mutual Fund Flows,"
Yale School of Management Working Papers
ysm8, Yale School of Management, revised 01 Jan 2001.
- Chevalier, J. & Ellison, G., 1996.
"Risk Taking by Mutual Funds as a Response to Incentives,"
96-3, Massachusetts Institute of Technology (MIT), Department of Economics.
- Chevalier, Judith & Ellison, Glenn, 1997. "Risk Taking by Mutual Funds as a Response to Incentives," Journal of Political Economy, University of Chicago Press, vol. 105(6), pages 1167-1200, December.
- Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
- Goetzmann, William N & Peles, Nadav, 1997. "Cognitive Dissonance and Mutual Fund Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 145-58, Summer.
- Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
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