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

  • Graciela Kaminsky
  • Richard K. Lyons
  • Sergio Schmukler

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.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 7855.

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Date of creation: Aug 2000
Date of revision:
Publication status: published as Kaminsky, Graciela, Richard K. Lyons and Sergio L. Schmukler. "Managers, Investors, Crises: Mutual Fund Strategies In Emerging Markets," Journal of International Economics, 2004, v64(1,Oct), 113-134.
Handle: RePEc:nbr:nberwo:7855
Note: AP IFM
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