scholarly journals Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

2008 ◽  
Author(s):  
Zhi Da ◽  
Pengjie Gao ◽  
Ravi Jagannathan
Keyword(s):  
Mutual Funds ◽  
Informed Trading ◽  
Stock Selection ◽  
Liquidity Provision

scholarly journals Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds

2010 ◽  
Vol 24 (3) ◽  
pp. 675-720 ◽  
Author(s):  
Zhi Da ◽  
Pengjie Gao ◽  
Ravi Jagannathan
Keyword(s):  
Mutual Funds ◽  
Stock Selection ◽  
Liquidity Provision

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

2020 ◽  
Vol 66 (12) ◽  
pp. 5505-5531 ◽  
Author(s):  
Mark Grinblatt ◽  
Gergana Jostova ◽  
Lubomir Petrasek ◽  
Alexander Philipov
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Short Sales ◽  
Fund Managers ◽  
Liquidity Provision ◽  
Stock Picking ◽  
Hedge Fund Performance

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

Disclosure Policies of Investment Funds

2015 ◽  
Vol 05 (01) ◽  
pp. 1550004 ◽  
Author(s):  
Thomas J. George ◽  
Chuan-Yang Hwang
Keyword(s):  
Mutual Funds ◽  
Private Information ◽  
Hedge Funds ◽  
Poor Performance ◽  
Securities Markets ◽  
Public Disclosure ◽  
Investment Funds ◽  
Portfolio Holdings ◽  
Liquidity Provision ◽  
Future Performance

We examine voluntary and mandated disclosure of portfolio holdings by investment funds in a model where funds are characterized as having a stream of investment ideas and as providing liquidity to investors through redemption. We show that the greater is the fund's liquidity provision role, the more aggressively the fund trades on its ideas, the stronger is its preference to disclose information about its holdings voluntarily, and the weaker is its performance. We also show that mandatory disclosure can decrease information available in securities markets by crowding out the acquisition of private information that, through funds' trading, would be reflected in prices. Our model provides an explanation for why hedge funds and mutual funds differ in their resistance to public disclosure, and is consistent with stylized facts regarding how funds' investment decisions respond to poor performance and how differences in disclosure policies affect the future performance of well versus poorly performing funds.

scholarly journals KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
ANITA ANITA
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Market Performance ◽  
Sampling Technique ◽  
Significant Positive Effect ◽  
Stock Selection ◽  
Purposive Sampling ◽  
Merton Model ◽  
Positive Effect

The purpose of this study is to test the ability of investment managers in Islamic mutual funds in their ability to conduct stock selection and market timing. The model developed in this study uses the Henriksson-Merton model. With purposive sampling technique obtained a sample of 31 mutual funds. After testing the results obtained, the performance of Islamic stock mutual funds in Indonesia underperformed compared to the ISSI market performance. The stock selection results contribute negatively to α = 5%, while the ability of market timing has a significant positive effect on mutual fund returns.

scholarly journals Global Liquidity Provision and Risk Sharing

2020 ◽  
pp. 1-33
Author(s):  
Feng Jiao ◽  
Sergei Sarkissian
Keyword(s):  
Risk Sharing ◽  
High Probability ◽  
Foreign Market ◽  
Informed Trading ◽  
Global Markets ◽  
Price Shocks ◽  
Foreign Markets ◽  
Liquidity Provision ◽  
Global Liquidity ◽  
Probability Of Informed Trading

Abstract We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950–2013 period. We find that firms after foreign-market listing exhibit lower liquidity sensitivity and lower liquidity beta and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges and in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership postlisting and is effective for firms with high levels of volatility, foreign income, and foreign trading and a high probability of informed trading. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

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