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Returns-Chasing Behavior, Mutual Funds, and Beta's Death

Citations

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Cited by:

  1. Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024. "The Booms and Busts of Beta Arbitrage," Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
  2. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  3. David Blitz, 2014. "Agency†Based Asset Pricing and the Beta Anomaly," European Financial Management, European Financial Management Association, vol. 20(4), pages 770-801, September.
  4. Lee, Jaeram & Jeon, Hyunglae & Kang, Jangkoo & Lee, Changjun, 2020. "Do actively managed mutual funds exploit stock market mispricing?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  5. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
  6. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
  7. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
  8. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
  9. Battiston, Pietro & Harrison, Sharon G., 2024. "Believe it or not: Experimental evidence on sunspot equilibria with social networks," Games and Economic Behavior, Elsevier, vol. 143(C), pages 223-247.
  10. Mahmoud Fatouh & Robert Bock & Jamal Ouenniche, 2023. "Impact of IFRS 9 on the cost of funding of banks in Europe," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(2), pages 115-145, June.
  11. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  12. Raphaëlle Bellando & Sébastien Ringuedé, 2007. "Compétition entre fonds et prise de risque excessive : une application empirique au cas des OPCVM actions de droit français," Post-Print halshs-00226341, HAL.
  13. Xuejun Jin & Yifan Shen & Bin Yu & Meifen Qian, 2022. "Flow‐driven risk shifting of high‐performing funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 71-100, March.
  14. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022. "Asset Management Contracts and Equilibrium Prices," Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3146-3201.
  15. Lehlohonolo Letho & Grieve Chelwa & Abdul Latif Alhassan, 2022. "Cryptocurrencies and portfolio diversification in an emerging market," China Finance Review International, Emerald Group Publishing Limited, vol. 12(1), pages 20-50, January.
  16. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  17. Malcolm Baker & Jeffrey Wurgler, 2013. "Do Strict Capital Requirements Raise the Cost of Capital? Banking Regulation and the Low Risk Anomaly," NBER Working Papers 19018, National Bureau of Economic Research, Inc.
  18. Kempf, Alexander & Ruenzi, Stefan & Thiele, Tanja, 2009. "Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 92(1), pages 92-108, April.
  19. Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
  20. Raphaëlle Bellando & Sébastien Ringuedé, 2009. "Compétition entre fonds et prise de risque excessive : une application empirique au cas français," Working Papers halshs-00451027, HAL.
  21. repec:ctc:serie1:def7 is not listed on IDEAS
  22. Lawrence Kryzanowski & Abdul Rahman, 2008. "Portfolio performance ambiguity and benchmark inefficiency revisited," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 321-332, December.
  23. Blitz, David & Pang, Juan & van Vliet, Pim, 2013. "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 31-45.
  24. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.
  25. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009. "More hedging instruments may destabilize markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November.
  26. Ritter, Jay R. & Zhang, Donghang, 2007. "Affiliated mutual funds and the allocation of initial public offerings," Journal of Financial Economics, Elsevier, vol. 86(2), pages 337-368, November.
  27. Hitzemann, Steffen & Sokolinski, Stanislav & Tai, Mingzhu, 2022. "Paying for beta: Leverage demand and asset management fees," Journal of Financial Economics, Elsevier, vol. 145(1), pages 105-128.
  28. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2017. "Seasonal Asset Allocation: Evidence from Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 71-109, February.
  29. Malcolm Baker & Jeffrey Wurgler, 2015. "Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly," American Economic Review, American Economic Association, vol. 105(5), pages 315-320, May.
  30. Andrea Frazzini & Lasse Heje Pedersen, 2022. "Embedded Leverage [Asset pricing with liquidity risk]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(1), pages 1-52.
  31. Jeffrey Fisher & David C. Ling & Andy Naranjo, 2009. "Institutional Capital Flows and Return Dynamics in Private Commercial Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 85-116, March.
  32. Alankar, Ashwin & Blausten, Peter & Scholes, Myron S., 2013. "The Cost of Constraints: Risk Management, Agency Theory and Asset Prices," Research Papers 2135, Stanford University, Graduate School of Business.
  33. Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017. "Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
  34. Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P., 2016. "Do hedge funds dynamically manage systematic risk?," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 1-15.
  35. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  36. Fatouh, Mahmoud & Bock, Robert & Ouenniche, Jamal, 2020. "Impact of IFRS 9 on the cost of funding of banks in Europe," Bank of England working papers 851, Bank of England.
  37. Olsen, Robert A., 2008. "Trust as risk and the foundation of investment value," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(6), pages 2189-2200, December.
  38. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
  39. Marius Popescu & Zhaojin Xu, 2018. "Mutual fund herding and reputational concerns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 550-565, July.
  40. Qiyuan Peng & Sheri Tice & Ling Zhou, 2023. "Mutual funds and stock fundamentals," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1329-1361, May.
  41. Jesus Sierra, 2012. "Consumer Interest Rates and Retail Mutual Fund Flows," Staff Working Papers 12-39, Bank of Canada.
  42. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
  43. Friedman, Daniel & Ostrov, Daniel N., 2013. "Evolutionary dynamics over continuous action spaces for population games that arise from symmetric two-player games," Journal of Economic Theory, Elsevier, vol. 148(2), pages 743-777.
  44. Lai, Chong, 2022. "Investment dynamics of fund managers under evolutionary games," International Review of Financial Analysis, Elsevier, vol. 82(C).
  45. Burggraf, Tobias & Rudolf, Markus, 2021. "Cryptocurrencies and the low volatility anomaly," Finance Research Letters, Elsevier, vol. 40(C).
  46. Alex R. Horenstein, 2017. "Betting Against Alpha," Working Papers 2017-13, University of Miami, Department of Economics.
  47. Friedman, Daniel & Abraham, Ralph, 2009. "Bubbles and crashes: Gradient dynamics in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 922-937, April.
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