Download or read book Mutual Fund Flows and Seasonalities in Stock Returns written by Moritz Wagner (Lecturer) and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a flow-based explanation for two long-standing anomalies in empirical finance - the Sell in May effect and the January effect. We find that the aggregate mutual fund flows exhibit similar seasonal patterns as stock returns. The Sell in May effect becomes insignificant in standard statistical tests after controlling for the impact of mutual fund flows on returns, with flow explaining about 54% of the variation in excess returns over the winter months. We also find that flow helps explaining the abnormally high returns of small-capstocks in January. The Sell in May and January effects appear to be primarily a retail money effect. Similarly, the well-known co-movement between flow and market return is only present in retail fund flow. Overall, the evidence suggests that unanticipated rather than expected flow drives our results. Keywords: Mutual funds, Fund flows, Return seasonality"--Page [ii].
Download or read book Dumb Money written by Andrea Frazzini and published by . This book was released on 2010 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money %uF818 by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is strongly related to the value effect. High sentiment also is associated high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand.
Download or read book Three Essays on Stock Market Seasonality written by Hyung-suk Choi and published by . This book was released on 2008 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Returns and Mutual Fund Flows written by Eli M. Remolona and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the increased popularity of mutual funds come increased concerns. Namely, could a sharp drop in stock and bond prices set off a cascade of redemptions by mutual fund investors and could the redemptions exert further downward pressure on asset markets? The authors analyze this relationship by using instrumental variables - a measuring technique previously unapplied to market returns and mutual fund flows - to determine the effect of returns on flows. Despite market observers' fears of a downward spiral in asset prices, the authors conclude that the short-term effect of market returns on mutual fund flows typically has been too weak to sustain such a spiral.
Download or read book Aggregate Equity Mutual Fund Flows and Stock Returns in Sweden written by and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonal Asset Allocation written by Mark J. Kamstra and published by . This book was released on 2015 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds average $13 billion, controlling for previously documented flow determinants (e.g., capital-gain overhang). This movement of large amounts of money between fund categories is correlated with seasonality in investor risk aversion, consistent with investors preferring safer (riskier) investments in autumn (spring). We find consistent evidence in Canada, and in Australia where seasons are offset by six months.
Download or read book International Mutual Fund Flows written by Dilip K. Patro and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few decades has witnessed a dramatic growth of U.S. based mutual funds that invest in non-U.S. stock markets. This paper provides a comprehensive analysis of flows into these international mutual funds for 1970-2003. Our analysis uncovers several new facts about mutual fund flows. First, the empirical findings show a strong relationship between flows into U.S. based international mutual funds and the correlation between the returns of the fund's assets and the returns of the U.S. market, consistent with investors' desire for international diversification. Furthermore, a stronger flow-performance relationship is observed when these correlations are low. As expected, the flows are lower when the volatility of the fund is higher. Second, the flows are related to contemporaneous and past fund returns supporting an 'information asymmetry' as well as 'return chasing' hypothesis for international capital flows. Finally, there is some evidence of fund outflows prior to or during the currency crises in emerging markets.
Download or read book Mutual Fund Flows and Extrapolative Investors Expectations written by Wolfgang Breuer and published by . This book was released on 2007 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the relation between aggregate mutual fund flows and stock market returns is analysed with respect to three issues. First, we study the relation between fund flows and long-term realized returns (past, current and future). Second, we find out that fund flows are not driven by fundamentally expected returns. Mutual fund investors appear to have naive expectations, as it seems that they just extrapolate past price trends into the future. This leads to a substantial performance loss of more than one percentage point per year. Third, the firstly presented results of the German fund market resemble those of the US market. Differences between the two fund markets do not seem to influence investor behaviour.
Download or read book Why are Mutual Fund Flow and Market Returns Related Evidence from High Frequency Data written by Roger M. Edelen and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relation between market returns and unexpected aggregate flow into U.S. equity funds, using semi-weekly and daily flow data. The reaction of flow and return --whether it be one reacting to the other, or both reacting to a third factor -- is fast and strong. The flow-return relation is mainly concurrent, but flow also follows returns with a one-day lag. The lagged response of flow indicates either a common response of both returns and flow to new information, or positive feedback trading. Additional tests suggest that the concurrent relation reflects flow driving returns.
Download or read book Mutual Fund Flows Expected Returns and the Real Economy written by Stephan Jank and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relation between mutual fund flows and the real economy.The findings of this paper support the theory that the positive co-movement of flows into equity funds and stock market returns is explained by a common response to macroeconomic news.Variables that predict the real economy as well as the equity premium - in particular dividend-price ratio, default spread, relative T-Bill rate and consumption-wealth ratio - are related to fund flows and can account for the correlation of flows and market returns. Furthermore, consistent with the information-response hypothesis, mutual fund flows are forward-looking and predict real economic activity.
Download or read book The Relationship Between Mutual Fund Flows Foreign Institutional Investments and Stock Market Returns in India written by Sandra Valukaran and published by . This book was released on with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the relationship between mutual fund investments, stock market performance and Foreign Institutional Investments in India, focusing on the period from April 2004 to October 2023. Examining three distinct hypotheses using regression and correlation analyses of secondary data, the study utilizes quantitative methodologies against the backdrop of India's booming mutual fund market. Key findings reveal a modest yet significant positive correlation between mutual fund inflows and stock index performances of NIFTY 50 and SENSEX. This suggests that while mutual fund investments impact stock market dynamics, they are not the sole determinants. Additionally, a positive correlation between mutual fund flows and historical stock market performance indicates a tendency towards momentum trading among investors. In contrast, an inverse relationship is observed between Foreign Institutional Investors flows and mutual fund inflows during financial crises,reflecting a defensive investor stance during market turbulence. These insights offer a comprehensive understanding of the Indian financial markets, highlighting the intricate interplay of various factors influencing investment trends. The research highlights the complexity of market dynamics in emerging nations and underscores the need for more investigation in this domain, which is of great importance to investors, fund managers, and regulators.
Download or read book Essays on the Trading Behavior of Mutual Fund Managers written by Gjergji Cici and published by . This book was released on 2004 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds and Stock and Bond Market Stability written by Franklin R. Edwards and published by . This book was released on 1998 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Is Money Really smart written by Russ Wermers and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Aggregate Mutual Fund Flows and Cross Sectional Anomalies written by Che-Kuan Chen and published by . This book was released on 2015 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine the explanatory power of aggregate mutual fund flows for the profitability of price-based (i.e., momentum and 52-week high) and non-price-based (i.e., earnings surprises, profitability, share issuance, accrual and asset growth) anomalies in the cross-section of returns. I find that the flow-based trading of mutual funds contributes to mispricing as measured by the profits to price-based anomalies, especially at times when market-wide funding costs are high. The effect also exists for non-price-based anomalies, but only through the dependence of their profits on momentum. My findings support the view of Lou (2012) and Vayanos and Woolley (2013) that mutual funds' trading on flows creates feedback that strengthens price-based anomalies, as high-performing funds buy additional shares of high-performing stocks and poorly performing funds sell shares of poorly performing stocks. However, the explanatory power of aggregate mutual fund flows for price-based anomaly returns is only partly attenuated by fund-level variables designed to capture the feedback effect. The flow-induced trading by mutual funds appears to contribute to mispricing for reasons beyond the feedback effect.
Download or read book Market Volatility and Mutual Fund Cash Flows written by Dengpan Luo and published by . This book was released on 2003 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relation between market volatility and monthly mutual fund cash flows. We find that bond fund investors in the period of 1984 through 1998 do not respond to past stock market volatility at the aggregate level after we take into account the persistency of volatility over time and the relation between risks and returns. On the other hand, stock fund investors respond negatively to concurrent and past long term (semi-annual and annual) market volatility. Stock fund investors' volatility timing behavior explains why fund managers decrease market exposure during periods of high market volatility. We also find that the negative relation between stock fund flows and market volatility is not entirely driven by the persistency of volatility over time or the relation between risks and returns. Using semi-variance of daily stock market returns, we find no evidence that investors are only concerned about downside volatility. Both upside volatility and downside volatility have negative impact on subsequent stock fund flows. We also find that stock fund flows in our sample period have strong positive impact on the subsequent market volatility. It provides some evidence that the momentum of mutual fund investors, often referred to as quot;noisy tradersquot;, do destabilize the overall stock market to some extent.
Download or read book Style Investing Mutual Fund Flows and Return Comovement written by Zhiyi Qian and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore whether style investing by mutual fund investors contributes to return comovement of stocks in the same style, classified by market capitalization and book-to-market ratio. We find that a stock's comovement with other stocks in its style is significantly greater when this stock is owned by mutual funds that focus on the stock's style. This increase in comovement is larger for stocks owned in greater proportion relative to their shares outstanding. Flows into or out of a mutual fund style positively affect return comovement; the effect is more pronounced for index funds than for actively managed funds.
