Mutual Fund Trading Around The World: Do Information Environments Matter?
This paper provides an extensive analysis of the trading strategies of 19,639 domestic mutual funds from 28 countries worldwide and of their 125,357 foreign counterparts that invest in their home markets for the period 1999 to 2005. Results show strong evidence that information environments matter for fund investment decisions. We show worldwide evidence that domestic mutual funds and especially foreign funds act as momentum traders when they buy stocks and as contrarians when they sell. A closer analysis indicates that foreign funds tend to actively pursue more momentum investing than domestic funds when buying stocks in firms and countries with low information environments, suggesting asymmetric information between the two groups of funds. Furthermore, the trading strategies of domestic funds have stronger predictive power for future returns than the strategies of foreign funds. The overall evidence clearly suggests that foreign funds are at an informational disadvantage.
Domestic and Foreign Mutual Funds Holdings Trading strategies and PIN
Sandy Lai Lilian Ng Bohui Zhang Zhe Zhang
Lee Kong Chian Business School,Singapore Management University,Singapore Sheldon B.Lubar School of Business,University of Wisconsin,Milwaukee,P.O.Box 742,WI 53201-0742 Nanyang Business School,Nanyang Technological University
国际会议
大连
英文
1-41
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）