Far tail or extreme day returns, mutual fund cash flows and investment behaviour
This study examines the frequency of extreme trading days and investment behaviour in Sweden. We show that the frequency, as well as the magnitude of extreme trading days has increased over time. We also show that the frequency of extreme trading days in a year is positively correlated to the freque...
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| Veröffentlicht in: | Applied financial economics 2010-08, Vol.20 (16), p.1241-1256 |
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| container_title | Applied financial economics |
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| creator | Burnie, David A. De Ridder, Adri |
| description | This study examines the frequency of extreme trading days and investment behaviour in Sweden. We show that the frequency, as well as the magnitude of extreme trading days has increased over time. We also show that the frequency of extreme trading days in a year is positively correlated to the frequency the preceding year and that this behaviour has persisted from 1940 to 2006. Furthermore, we show that aggregate cash flows into equity and bond funds are unrelated to risk measured by SD of return. Our findings show that investors, individuals as well as corporations, use simple passive investment strategies and hence do not believe in market timing or wish to risk capital on capturing far tail or black swan-type returns. |
| doi_str_mv | 10.1080/09603107.2010.489885 |
| format | Article |
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| identifier | ISSN: 0960-3107 |
| ispartof | Applied financial economics, 2010-08, Vol.20 (16), p.1241-1256 |
| issn | 0960-3107 1466-4305 1466-4305 |
| language | eng |
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| source | RePEc; Business Source Complete; SWEPUB Freely available online |
| subjects | Bonds Business and economics Business Economics Business studies Capital Cash flow Distribution Ekonomi Equity Extreme Value Företagsekonomi Investment Investment policy Market Mutual funds Rates of return Risk SAMHÄLLSVETENSKAP Securities trading SOCIAL SCIENCES Stock Market Studies Uncertainty Volatility |
| title | Far tail or extreme day returns, mutual fund cash flows and investment behaviour |
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