Download or read book Understanding the Non Linear Relation between Mutual Fund Performance and Flows written by George D. Cashman and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine gross flows to mutual funds and find that existing investors punish poorly performing funds by increasing outflows. We also find that existing and potential investors punish poorly performing funds by reducing inflows. Finally, we uncover that current investors respond to poor performance with the same intensity as they do to good performance. Overall, we conclude that new investors must drive the observed non-linearity between mutual fund performance and net flows. This conclusion runs contrary to the extant literature which generally ascribes the absence of net outflows in the face of poor performance to inactivity by existing fund investors (i.e., they do not exit).
Download or read book Canadian Mutual Fund Flows and Performance written by Jonathan Michael LaBerge and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investors Do Respond to Poor Mutual Fund Performance written by George D. Cashman and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The non-linear relation between mutual fund performance and subsequent net flows is well documented in the mutual fund literature. The extant literature generally ascribes the absence of net outflows in the face of poor performance to inactivity by existing fund investors (i.e., they do not to exit). We examine monthly gross flows and find that existing investors do, in fact, respond to poor mutual fund performance. Specifically, existing investors punish poorly performing funds by increasing outflows. We also find that existing and potential investors punish poorly performing funds by reducing inflows to those funds. Finally, we document that current investors respond to poor performance with the same intensity as they do to good performance.
Download or read book Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Download or read book An Analysis of Mutual Fund and Hedge Fund Flows written by Luca Rugiero and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, the flow-performance relation for hedge funds and mutual funds is analyzed, while specifically analyzing whether the relation varies depending on style and particularly if such differences are of statistical significance as this aspect was neglected in a previous study Getmansky (2012). Using a multiple regression model as well as a piecewise regression, it was analyzed both, whether the linear relation or the shape of the flow-performance differs by styles. This thesis provided evidence that the linear flow-performance differs in magnitude for certain styles, both in the hedge fund and mutual fund industry. For hedge funds, our findings indicate that linear flow-performance coefficients statistically significantly differ for relative value, market neutral, global macro and emerging market funds. Further, relative value funds funds appear to have a very pronounced concave flow-performance shape, while most other styles are not statistically significantly different from a close to linear flow-performance relation. Further we found evidence that certain styles react statistically significantly more respectively less strong to past performance in specified performance quintiles and they might thereby bias the shape that is perceived for hedge funds overall. In the mutual fund industry, the relation is significantly stronger for all equity styles than for bond styles, while the shape is generally convex for the former, while it is rather linear for the latter.
Download or read book The Determinants of the Flow of Funds of Managed Portfolios written by Diane Del Guercio and published by . This book was released on 2000 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-13 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Download or read book Mutual Fund Flows and Performance Streaks How Mutual Fund Selection is Driven by Behavioural Biases written by Kai Aschick and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to existing literature by analysing the role of performance streaks in the US mutual fund industry. Existing research suggests that performance streaks, i.e. multiple consecutive months of positive or negative performance, are an important determinant of mutual fund flows. My dataset comprises monthly returns and net-flows from US equity mutual funds from 1996 through 2015. My first analysis shows that streaks are not an indication of performance persistence and should not be used in investment decisions. Next, I develop two forecasting models using streaks based on several different performance metrics, such as excess returns and CAPM-alphas. The first one is a probit model that forecasts future investor sentiment, measured by the sign of future net-flows. This model is very robust to different time period specifications. The second one is a multiple linear regression model that forecasts actual future net- flows. The performance of this model strongly depends on the time period specified, as it performs poorly following the financial crisis. In both models the best-performing specification uses streaks based on CAPM-alphas. However, a Shapley decomposition reveals that streaks are, despite being statistically significant, the least-important predictors of future net-flows. Instead, lagged net-flows are the most-important determinants of future net-flows. The results of this thesis suggest that active streaks tip the scales when investors decide between two or more funds with a comparable track record. Hence, the results presented are ambiguous regarding investor rationality.
Download or read book Relationship Between Mutual Fund Flow and Fund Performance written by Jun Liu (S.M.) and published by . This book was released on 2011 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use publically available data set on Chinese stock oriented mutual funds, examine whether the fund flow within one period depends on the past performance of this individual fund, and if there's a relationship, then what the detailed linkage between the past performance and the current period fund flow is. Different models involving regression will be used to exam the significance of each factor that may contribute to the relationship. The results found by using Chinese market data will be compared to developed markets, for example, the U.S. market, see if similar patterns appear in both markets.
Download or read book Investment Horizon Risk Proxies and Mutual Fund Performance written by Cheng F. Lee and published by . This book was released on 1978 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Su bios no Paran written by and published by . This book was released on 1971 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Mutual Funds written by Xuemei Guo and published by . This book was released on 2017 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the determinants of mutual fund flows and mutual fund performance. The first chapter examines the response of fund investors to style volatility and the impact of style volatility on the flow-performance relationship. Three main empirical findings are obtained using both a portfolio approach and a multivariate regression approach. First, I find that there is a significant positive relationship between the style volatility and the subsequent fund flows to mutual funds. This finding can be interpreted as either fund managers having style timing ability or fund managers catering to investors preferences or tastes. Second, the positive relationship between past style volatility and fund flows is less pronounced for funds with superior past performance. Lastly, fund style volatility has a dampening effect on the flow-performance relationship: the flow-performance sensitivity weakens by 12% when the past style volatility increases by one standard deviation. It is likely that performance is perceived as a less informative signal of investment ability for fund managers who follow inconsistent styles over time. The second chapter studies how the response of fund investors to past risk varies over business cycles. I employ the NBER boom indicator, the Consumer Sentiment Index, and the National Activity Index to proxy for economic conditions. I find that mutual fund investors react differently to risk across economic environments. Funds with more volatile past returns discourage fund investors. The investors’ demand for actively managed funds is higher under good market conditions. Fund flows are less responsive to risk during expansionary economic periods. This finding may indicate that fund investors are risk averse and become less risk averse in good market states. The third chapter empirically examines whether mutual fund performance is affected by prior family performance. I propose two testable hypotheses: the information and resource sharing hypothesis and the cross-fund subsidization hypothesis. The empirical findings suggest that there is a significant positive relationship between prior family performance and subsequent fund performance. This finding is consistent with the hypothesis that mutual funds in the same family share informational resources. This positive relation also justifies the finding in the mutual fund flow literature that fund flows are higher for funds with higher past family performance. Furthermore, I find that the predictive power of the prior family performance is stronger in larger fund families.
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 Mutual Fund Flows and Performance in Rational Markets written by Jonathan B. Berk and published by . This book was released on 2002 with total page 36 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 Dynamics of Cross Border Flow Performance Relationships written by Simon Weiler and published by Springer. This book was released on 2014-11-19 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to measure the dynamics of flow-performance relationships for a multi-domicile sample, Simon Weiler applies existing flow-performance research methods to a broad set of European equity (UCITS) funds and proves that major findings (performance-chasing behaviour and a convex flow-performance relationship) also hold true in a cross-border market environment.
