Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

211 citations recorded by the source corpus.

Citations in the corpus

Mutual Fund Performance and Flows during the COVID-19 Crisis (2020, unknown): “Kosowski (2011) analyzes the period from 1962 to 2005 and finds that mutual fund alphas in recessions exceed those in expansions by 3% to 5% per year, on average.”
A Rational Theory of Mutual Funds' Attention Allocation (2016, unknown): “Empirical work by Moskowitz (2000), Kosowski (2011), Glode (2011), and de Souza and Lynch (2012) also documents such evidence.”
Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, unknown): “Similarly, Kosowski (2006) shows that fund performance varies over the business cycle but he does not distinguish between the sources of skill as we do here.”
Do Funds Make More When They Trade More (2016, unknown): “Others relate fund performance to the business cycle (e.g., Moskowitz, 2000, Glode, 2011, Kosowski, 2011, and Kacperczyk, van Nieuwerburgh, and Veldkamp, 2013, 2014), to aggregate market returns (Glode, Holliﬁeld, Kacperczyk, and Kogan, 2012), and to time variation in fund risk (e.g., Brown,…”