Momentum strategies of German mutual funds
The existence of the momentum effect in stock returns has been documented for the US (e.g., Jegadeesh and Titman in J. Finance 48(1), 65–91, 1993 ) and many other national equity markets worldwide (e.g., Griffin et al. in J. Finance 58(6), 2515–2547, 2003 ). However, little is known about the active...
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| Veröffentlicht in: | Financial markets and portfolio management 2013-09, Vol.27 (3), p.307-332 |
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| creator | Franck, Alexander Walter, Andreas Witt, Johannes F. |
| description | The existence of the momentum effect in stock returns has been documented for the US (e.g., Jegadeesh and Titman in J. Finance 48(1), 65–91,
1993
) and many other national equity markets worldwide (e.g., Griffin et al. in J. Finance 58(6), 2515–2547,
2003
). However, little is known about the active employment of momentum strategies among institutional investors outside the US. This paper provides first evidence of momentum behavior among German mutual funds. We find the fund trades to follow stock returns on an aggregated institutional level. Moreover, we detect significant momentum behavior among funds with a European and global equity focus, as well as among funds predominantly investing in Asia. In contrast, German funds do not seem to engage in momentum strategies when trading domestic stocks. While only half the funds in our sample trade in accordance with past returns, 66 % of the funds within the largest size quintile follow momentum strategies. Finally, we do not find momentum trading funds to outperform the other funds. |
| doi_str_mv | 10.1007/s11408-013-0211-z |
| format | Article |
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1993
) and many other national equity markets worldwide (e.g., Griffin et al. in J. Finance 58(6), 2515–2547,
2003
). However, little is known about the active employment of momentum strategies among institutional investors outside the US. This paper provides first evidence of momentum behavior among German mutual funds. We find the fund trades to follow stock returns on an aggregated institutional level. Moreover, we detect significant momentum behavior among funds with a European and global equity focus, as well as among funds predominantly investing in Asia. In contrast, German funds do not seem to engage in momentum strategies when trading domestic stocks. While only half the funds in our sample trade in accordance with past returns, 66 % of the funds within the largest size quintile follow momentum strategies. Finally, we do not find momentum trading funds to outperform the other funds.</description><identifier>ISSN: 1934-4554</identifier><identifier>EISSN: 2373-8529</identifier><identifier>DOI: 10.1007/s11408-013-0211-z</identifier><identifier>CODEN: SCIEAS</identifier><language>eng</language><publisher>Boston: Springer US</publisher><subject>Business and Management ; Finance ; Institutional investments ; Investment advisors ; Investment policy ; Investors ; Management ; Mutual funds ; Pension funds ; Rates of return ; Securities markets ; Securities prices ; Stock exchanges ; Stock prices ; Studies</subject><ispartof>Financial markets and portfolio management, 2013-09, Vol.27 (3), p.307-332</ispartof><rights>Swiss Society for Financial Market Research 2013</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c403t-2101fb7cce9da3b3f1dc91633dfc988b4919e8c2e592ba27607eb55b1b849b6e3</citedby><cites>FETCH-LOGICAL-c403t-2101fb7cce9da3b3f1dc91633dfc988b4919e8c2e592ba27607eb55b1b849b6e3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s11408-013-0211-z$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s11408-013-0211-z$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,776,780,27901,27902,41464,42533,51294</link.rule.ids></links><search><creatorcontrib>Franck, Alexander</creatorcontrib><creatorcontrib>Walter, Andreas</creatorcontrib><creatorcontrib>Witt, Johannes F.</creatorcontrib><title>Momentum strategies of German mutual funds</title><title>Financial markets and portfolio management</title><addtitle>Financ Mark Portf Manag</addtitle><description>The existence of the momentum effect in stock returns has been documented for the US (e.g., Jegadeesh and Titman in J. Finance 48(1), 65–91,
1993
) and many other national equity markets worldwide (e.g., Griffin et al. in J. Finance 58(6), 2515–2547,
2003
). However, little is known about the active employment of momentum strategies among institutional investors outside the US. This paper provides first evidence of momentum behavior among German mutual funds. We find the fund trades to follow stock returns on an aggregated institutional level. Moreover, we detect significant momentum behavior among funds with a European and global equity focus, as well as among funds predominantly investing in Asia. In contrast, German funds do not seem to engage in momentum strategies when trading domestic stocks. While only half the funds in our sample trade in accordance with past returns, 66 % of the funds within the largest size quintile follow momentum strategies. Finally, we do not find momentum trading funds to outperform the other funds.</description><subject>Business and Management</subject><subject>Finance</subject><subject>Institutional investments</subject><subject>Investment advisors</subject><subject>Investment policy</subject><subject>Investors</subject><subject>Management</subject><subject>Mutual funds</subject><subject>Pension funds</subject><subject>Rates of return</subject><subject>Securities markets</subject><subject>Securities prices</subject><subject>Stock exchanges</subject><subject>Stock prices</subject><subject>Studies</subject><issn>1934-4554</issn><issn>2373-8529</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><sourceid>BENPR</sourceid><recordid>eNp1kD1PwzAURS0EElXpD2CLxIZkeM9fiUdUQYtUxAKzZTt21apJip0M9NeTKgwsTHc5917pEHKL8IAA5WNGFFBRQE6BIdLTBZkxXnJaSaYvyQw1F1RIKa7JIuc9AKAsFedqRu7fuia0_dAUuU-2D9tdyEUXi1VIjW2LZugHeyji0Nb5hlxFe8hh8Ztz8vny_LFc08376nX5tKFeAO8pQ8DoSu-Dri13PGLtNY5vdfS6qpzQqEPlWZCaOctKBWVwUjp0ldBOBT4nd9PuMXVfQ8i92XdDasdLg0IxQKaUGimcKJ-6nFOI5ph2jU3fBsGcrZjJihmtmLMVcxo7bOrkkW23If1Z_rf0A6GxY-k</recordid><startdate>20130901</startdate><enddate>20130901</enddate><creator>Franck, Alexander</creator><creator>Walter, Andreas</creator><creator>Witt, Johannes F.</creator><general>Springer US</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>885</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ANIOZ</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRAZJ</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>M1F</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20130901</creationdate><title>Momentum strategies of German mutual funds</title><author>Franck, Alexander ; 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Finance 48(1), 65–91,
1993
) and many other national equity markets worldwide (e.g., Griffin et al. in J. Finance 58(6), 2515–2547,
2003
). However, little is known about the active employment of momentum strategies among institutional investors outside the US. This paper provides first evidence of momentum behavior among German mutual funds. We find the fund trades to follow stock returns on an aggregated institutional level. Moreover, we detect significant momentum behavior among funds with a European and global equity focus, as well as among funds predominantly investing in Asia. In contrast, German funds do not seem to engage in momentum strategies when trading domestic stocks. While only half the funds in our sample trade in accordance with past returns, 66 % of the funds within the largest size quintile follow momentum strategies. Finally, we do not find momentum trading funds to outperform the other funds.</abstract><cop>Boston</cop><pub>Springer US</pub><doi>10.1007/s11408-013-0211-z</doi><tpages>26</tpages></addata></record> |
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| language | eng |
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| subjects | Business and Management Finance Institutional investments Investment advisors Investment policy Investors Management Mutual funds Pension funds Rates of return Securities markets Securities prices Stock exchanges Stock prices Studies |
| title | Momentum strategies of German mutual funds |
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