Selling Winners, Holding Losers: Effect on Fund Flows and Survival of Disposition-Prone Mutual Funds

2009 ◽  
Author(s):  
Lily Xu ◽  
Vijay Singal
Keyword(s):  
Mutual Funds ◽  
Fund Flows

Investor Sentiment and Flows into Treasury Funds

2018 ◽  
Keyword(s):  
Mutual Funds ◽  
Financial Market ◽  
Mutual Fund ◽  
Explanatory Power ◽  
Investor Sentiment ◽  
Fund Flows ◽  
Inflation Expectations ◽  
Relative Response ◽  
Financial Market Risk ◽  
Blue Chip

The author compares the relative response of Treasury fund flows to the sentiment-prone Michigan Survey of Inflation Expectations and to the Blue Chip Survey of Financial Forecasts, a professional forecast of inflation. The Treasury market is an ideal subject for examining whether or not sentiment affects flows: it is highly liquid, making it unlikely that it is hard to arbitrage, and inflation is the primary factor affecting its returns. Using mutual fund inflows into TIPs and Treasury mutual funds that occurred between January 1991 and June 2011, the author finds that the Michigan Survey is insignificantly related to flows into inflation-indexed TIPs and is positively related to flows into nominal Treasury funds. The Blue Chip Survey does not have incremental explanatory power. The evidence is consistent with a combination of a hedging motive and a flight to liquidity triggered by information in the Michigan Survey about households’ perception of financial market risk. The two motives reinforce each other in driving flows into nominal Treasury funds when the Michigan forecast of inflation is high, while they appear to cancel each other out in determining flows into the illiquid TIPS market.

scholarly journals Does Sustainability Score Impact Mutual Fund Performance?

2019 ◽  
Vol 11 (10) ◽  
pp. 2972 ◽  
Author(s):  
Pablo Durán-Santomil ◽  
Luis Otero-González ◽  
Renato Heitor Correia-Domingues ◽  
Juan Carlos Reboredo
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Value At Risk ◽  
Fund Performance ◽  
Fund Flows ◽  
Socially Responsible ◽  
Equity Fund ◽  
Socially Responsible Investments ◽  
Mutual Fund Flows ◽  
European Equity

Given that sustainable investing constitutes a major force across global financial markets, in 2016 Morningstar began reporting Morningstar Sustainability scores. We used the 2016, 2017 and 2018 scores to study the effects of socially responsible investments (SRI) on European equity fund performance. Sustainability scores impacted positively on performance, which was consistent with the idea that the mutual funds invested in companies with better scores generate better risk-adjusted and not-risk adjusted performance. We also tested the relation on mutual fund flows and risk. The sustainability score in the previous year is significant on the flows, so higher-rated funds receive a larger volume of funds. In terms of risk, the level of sustainability is negatively related to the value at risk (VaR) of the fund, supporting that higher scored mutual funds offer better protection against extreme losses.

scholarly journals Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand

2021 ◽  
Vol 10 (1) ◽  
pp. 37-44
Author(s):  
Roongkiat Ratanabanchuen ◽  
Kanis Saengchote
Keyword(s):  
Mutual Funds ◽  
Capital Markets ◽  
Public Policies ◽  
Systematic Risk ◽  
Unintended Consequences ◽  
Risk Exposure ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Tax Benefits ◽  
High Beta

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.

scholarly journals Why do Fund Managers Increase the Lottery-Like Characteristics of the Fund?

2021 ◽  
Vol 50 (6) ◽  
pp. 557-592
Author(s):  
Minyeon Han ◽  
Hyoung-goo Kang ◽  
Kyoung Hun Bae
Keyword(s):  
Mutual Funds ◽  
Fund Flows ◽  
Fund Managers ◽  
And Performance

We investigate why fund managers invest in lottery-like stocks and whether the behavior that holds more lottery-like stocks affects performance. First, mutual funds that hold more lottery stocks may attract more fund flows. Our results support the theory that fund managers invest more in lottery-like stocks to reflect investors' preferences for extreme payoffs. Second, the level of lottery-like characteristics of mutual funds does not predict managers’ skill and performance. Therefore, fund managers holding more lottery stocks is not a result of managers’ skills. Third, lottery-like characteristics of mutual funds do not significantly affect performance in specific reporting periods (e.g., year-end or quarter-end). Based on this result, we conclude that fund managers do not invest more in lottery stocks to advance their career.

scholarly journals The Effect of Fund Uniqueness on Fund Flow Sensitivity: An Empirical Study of Chinese Public Mutual Funds

2016 ◽  
Vol 8 (10) ◽  
pp. 14
Author(s):  
Qiaobo Zhang
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Flows ◽  
Past Performance ◽  
Flow Sensitivity ◽  
Fund Flow ◽  
Stable Pattern ◽  
Panel Regressions ◽  
Equity Funds ◽  
Cluster Analysis Method

With the quick development of mutual funds in China, problem of fund homogeneity becomes more and more non-negligible. This paper constructs a uniqueness index to measure the uniqueness of funds in China by applying cluster analysis method and studies the effect of fund uniqueness on fund flow sensitivity with panel regressions. Using the sample of Chinese publicly-traded equity funds over the years at the quarterly frequency, the empirical result shows that fund uniqueness exert a significant impact on fund flows. That is, fund flows respond less sensitively to the past performance of unique funds than non-unique funds, indicating that more unique funds tend to exhibit a more stable pattern of fund flows. Based on these findings and relevant theories, this paper puts forward some suggestions on promoting the differentiation of fund products in China and thus contributes to the overall health of Chinese mutual fund market.

scholarly journals The Flow - Performance Relationship: Evidence from Pakistani Mutual Funds

2020 ◽  
Vol 6 (1) ◽  
pp. 145-154
Author(s):  
Saleh Nawaz khan ◽  
Amna Noor
Keyword(s):  
Panel Data ◽  
Linear Regression ◽  
Mutual Funds ◽  
Developed Countries ◽  
Fund Flows ◽  
The Novel ◽  
High Performing ◽  
The Past ◽  
The Relationship ◽  
Unbalanced Panel Data

we use the novel sample of Pakistani mutual funds to examine the flow performance relationship.  We apply linear regression model with fixed effect on unbalanced panel data for the period of 2012 to 2018. Consistence with the existence literature  using sample of US and other developed countries ,we find positive flow- performance relationship , but the prior performance do not have larger impact on subsequent fund flows.  Our results also exhibit that the shape of the relationship is not linear; it’s convex like other developed countries. In other words, the past high performing funds attracts larger inflow in the next periods whereas the past low performing fund suffer from minimal out flow in the next period.

Returns and Fund Flows in Canadian Mutual Funds

2007 ◽  
pp. 1-16
Author(s):  
Rajeeva Sinha ◽  
Vijay Jog
Keyword(s):  
Mutual Funds ◽  
Fund Flows
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