scholarly journals Can Momentum Be Explained by Fund Flows or Disposition Effect? The Impact of Behavioral Biases and Capital Flows in Brazilian Market Movements

2021 ◽  
Vol 12 (1) ◽  
pp. 1-8
Author(s):  
Francisco Pitthan ◽  
Keyword(s):  
Financial Markets ◽  
Market Price ◽  
Robustness Analysis ◽  
Disposition Effect ◽  
Fund Flows ◽  
Fund Flow ◽  
Long Time ◽  
Fundamental Value ◽  
The Impact ◽  
The Empirical Analysis

Momentum is one of the most robust anomalies in financial markets, there are two main recent explanations for this phenomenon, a behavioral-based explanation through disposition-effect (i.e., the willingness to sell “winners” too quickly and to hold “losers” for a long time) and a fund-flow based explanation. The disposition-effect explanation is centered in the convergence of the spread between the fundamental value and the observed market price (disposition-effect causes an underreaction to news that generates this spread), and the fund flows-based explanation is due to the persistence of the performance of mutual-funds (which usually keep buying winning positions and selling the losses). This paper compares those theories using Brazilian data (which is suitable for the strong presence of momentum). The empirical analysis was done using Fama-MacBeth regressions with results pointing the disposition-effect explanation as the most significant, with the robustness analysis contributing positively to the main findings.

Fund Flow Volatility and Performance

2009 ◽  
Vol 45 (1) ◽  
pp. 223-237 ◽  
Author(s):  
David Rakowski
Keyword(s):  
Mutual Fund ◽  
Negative Relationship ◽  
Fund Flows ◽  
Cross Sectional ◽  
Fund Flow ◽  
Performance Differences ◽  
Significant Negative Relationship ◽  
Equity Funds ◽  
And Performance ◽  
The Impact

AbstractThis paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not with performance differences arising from the suboptimal cash holdings that arise from fund flows.

Are Green Fund Investors Really Socially Responsible?

2012 ◽  
Vol 15 (04) ◽  
pp. 1250023 ◽  
Author(s):  
Huimin Chung ◽  
Han-Hsing Lee ◽  
Pei-Chun Tsai
Keyword(s):  
Fund Flows ◽  
Socially Responsible ◽  
Subprime Mortgage ◽  
Fund Flow ◽  
The Social ◽  
Significant Difference ◽  
Mortgage Crisis ◽  
Prior Literature ◽  
Subprime Mortgage Crisis ◽  
The Impact

This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.

scholarly journals Regulatory Sanctions and Reputational Damage in Financial Markets

2017 ◽  
Vol 52 (4) ◽  
pp. 1429-1448 ◽  
Author(s):  
John Armour ◽  
Colin Mayer ◽  
Andrea Polo
Keyword(s):  
United Kingdom ◽  
Financial Markets ◽  
Financial Regulation ◽  
Market Price ◽  
Complete Information ◽  
Third Parties ◽  
Public Announcement ◽  
Regulatory Authorities ◽  
The United Kingdom ◽  
The Impact

We study the impact of the enforcement of financial regulation by the United Kingdom’s regulatory authorities on the market price of penalized firms. Existing studies rely on analyses of multiple events that may distort the measurement of reputational losses. In the United Kingdom, the entire enforcement process involves only one public announcement and is accompanied by complete information on legal penalties. We find that reputational losses are nearly nine times the size of fines and are associated with misconduct harming customers or investors but not third parties.

scholarly journals Herding and Contrarian Behavior in Financial Markets: An Internet Experiment

2005 ◽  
Vol 95 (5) ◽  
pp. 1403-1426 ◽  
Author(s):  
Mathias Drehmann ◽  
Jörg Oechssler ◽  
Andreas Roider
Keyword(s):  
Financial Markets ◽  
Market Price ◽  
Informational Cascades ◽  
Fields Of Study ◽  
International Consulting ◽  
Fundamental Value

We report results of an Internet experiment designed to test the theory of informational cascades in financial markets (Christopher Avery and Peter Zemsky, 1998). More than 6,400 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. We find that the presence of a flexible market price prevents herding. The presence of contrarian behavior distorts prices, however, and even after 20 decisions, convergence to the fundamental value is rare. We also report some interesting differences with respect to subjects' fields of study. Reassuringly, the behavior of the consultants turns out to be not significantly different from that of the remaining subjects.

scholarly journals Where is the Value in High Frequency Trading?

2012 ◽  
Vol 02 (03) ◽  
pp. 1250014 ◽  
Author(s):  
Álvaro Cartea ◽  
José Penalva
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Market Price ◽  
Price Impact ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Noise Trading ◽  
Surplus Extraction ◽  
The Impact ◽  
Professional Traders

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: (i) The price impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular, we show that HFTs reduce (increase) the prices that LTs receive when selling (buying) their equity holdings. (ii) Although PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market price. (iii) HF trading increases the microstructure noise of prices. (iv) The volume of trades increases as the HFTs intermediate trades between the LTs and PTs. This additional volume is a consequence of trades which are carefully tailored for surplus extraction and are neither driven by fundamentals nor is it noise trading. In equilibrium, HF trading and PTs coexist as competition drives down the profits for new HFTs while the presence of HFTs does not drive out traditional PTs.

Euratom and Brexit: Could the United Kingdom Maintain One Foot in the European Union? Current Scenarios and Future Prospects of British withdrawal from the EAEC

2018 ◽  
Vol 18 (2) ◽  
pp. 134-151
Author(s):  
Andrea Circolo ◽  
Ondrej Hamuľák
Keyword(s):  
European Union ◽  
United Kingdom ◽  
Independent Solution ◽  
Legal Regulation ◽  
The European Union ◽  
The United Kingdom ◽  
The Status ◽  
Long Time ◽  
Energy Community ◽  
The Impact

Abstract The paper focuses on the very topical issue of conclusion of the membership of the State, namely the United Kingdom, in European integration structures. The ques­tion of termination of membership in European Communities and European Union has not been tackled for a long time in the sources of European law. With the adop­tion of the Treaty of Lisbon (2009), the institute of 'unilateral' withdrawal was intro­duced. It´s worth to say that exit clause was intended as symbolic in its nature, in fact underlining the status of Member States as sovereign entities. That is why this institute is very general and the legal regulation of the exercise of withdrawal contains many gaps. One of them is a question of absolute or relative nature of exiting from integration structures. Today’s “exit clause” (Art. 50 of Treaty on European Union) regulates only the termination of membership in the European Union and is silent on the impact of such a step on membership in the European Atomic Energy Community. The presented paper offers an analysis of different variations of the interpretation and solution of the problem. It´s based on the independent solution thesis and therefore rejects an automa­tism approach. The paper and topic is important and original especially because in the multitude of scholarly writings devoted to Brexit questions, vast majority of them deals with institutional questions, the interpretation of Art. 50 of Treaty on European Union; the constitutional matters at national UK level; future relation between EU and UK and political bargaining behind such as all that. The question of impact on withdrawal on Euratom membership is somehow underrepresented. Present paper attempts to fill this gap and accelerate the scholarly debate on this matter globally, because all consequences of Brexit already have and will definitely give rise to more world-wide effects.

ICT SMEs, Performance, Absorptive Capacity and Transformative Capacity

2019 ◽  
Vol 118 (3) ◽  
pp. 178-188
Author(s):  
Yeon-Sung Cho ◽  
Kyung-Il Khoe
Keyword(s):  
Firm Performance ◽  
Market Orientation ◽  
Empirical Analysis ◽  
Absorptive Capacity ◽  
Latent Variables ◽  
Equation Modeling ◽  
Transformative Capacity ◽  
The Impact ◽  
The Empirical Analysis ◽  
Innovative Capacity

This study intends to integrate the relationship of market orientation, innovative capacity and firm performance to Information and Communication Technology(ICT) SMEs. The purpose of this study is to identify the role of absorptive capacity and transformative capacity that affect the performance of ICT SMEs. Hypotheses were established between five latent variables. A total of six hypotheses were established including the moderated effects of absorptive capacity and transformative capacity. Of the data collected after the survey, 112 valid surveys were selected as the final sample, except for 17 questionnaires with high non - response and insincere response. The empirical analysis of this study used smartpls3.0, Partial Least Squares (PLS), a variance-based structural equation modeling. The empirical analysis of this study revealed that the impact of market orientation on innovative capacity was significant. Moreover, the innovative capacity had a positive effect on the performance of ICT SMEs. In addition, the absorptive activity had a positive moderated effect between the market orientation and the innovative capacity. On the other hand, the transformative capacity showed a positive moderated effect in relation to innovative capacity and firm performance. Our empirical results have demonstrated the importance of knowledge based capacity in the ICT SMEs.

The Impact of EMU on European Financial Markets

2001 ◽  
Vol 62 (2) ◽  
pp. 83-95
Author(s):  
Ernst-Ludwig von Thadden
Keyword(s):  
Financial Markets ◽  
The Impact

„Arvīd, uz kurieni Tu aizgāji?”: Arvīda Griguļa personības loma Rakstnieku savienības vēsturē

2020 ◽  
pp. 74-84
Author(s):  
Madara Eversone
Keyword(s):  
20Th Century ◽  
Communist Party ◽  
Central Committee ◽  
State Archive ◽  
National Archives ◽  
Literary Heritage ◽  
Literary Process ◽  
Long Time ◽  
The Impact

The article aims to highlight the role of Arvīds Grigulis’ (1906–1989) personality in the Latvian Soviet literary process in the context of the Latvian Soviet Writers’ Union, attempting to discover the contradictions and significance of Arvīds Grigulis’ personality. Arvīds Grigulis was a long-time member of the Writers’ Union, a member of the Soviet nomenklatura, and an authority of the soviet literary process. His evaluations of pre-soviet literary heritage and writings of his contemporaries were often harsh and ruthless, and also influenced the development of the further literary process. The article is based on the documents of the Central Committee of the Latvian Communist Party, the Latvian Soviet Writers’ Union and the Communist Party local organization of the Latvian Soviet Writers’ Union that are available at the Latvian State Archive of the National Archives of Latvia, as well as memories of Grigulis’ contemporaries. It is concluded that the personality of the writer Arvīds Grigulis, although unfolding less in the context of the Writers’ Union, is essential for the exploration of the soviet literary process and events behind the scenes. The article mainly describes events and episodes taking place until 1965, when Arvīds Grigulis’ influence in the Writers’ Union was more remarkable. Individual and further studies should analyse changes and the impact of his decisions in the cultural process of the 70s and 80s of the 20th century.

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