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Far tail or extreme day returns, mutual fund cash flows and investment behaviour
Haworth College of Business, Western Michigan University.
Gotland University, Department of Business Administration.
2010 (English)In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 20, no 16, p. 1241-1256Article in journal (Refereed) Published
Abstract [en]

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. Furthermore, we show that aggregate cash flows into equity and bond funds are unrelated to risk measured by standard deviation 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.

Place, publisher, year, edition, pages
London: Routledge , 2010. Vol. 20, no 16, p. 1241-1256
Keywords [en]
Volatility, Distribution, Extreme Value, Stock Market
National Category
Business Administration
Research subject
Business Economics
Identifiers
URN: urn:nbn:se:hgo:diva-370DOI: 10.1080/09603107.2010.489885OAI: oai:DiVA.org:hgo-370DiVA, id: diva2:313988
Available from: 2010-04-27 Created: 2010-04-27 Last updated: 2017-12-12Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
  • html
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