Time-Varying Risk Aversion in the Cross-Section of Mutual Fund Flows

2012 ◽  
Author(s):  
Philip Straehl
Keyword(s):  
Risk Aversion ◽  
Cross Section ◽  
Mutual Fund ◽  
Fund Flows ◽  
Time Varying ◽  
The Cross ◽  
Mutual Fund Flows

scholarly journals Luck versus skill over time: time-varying performance in the cross-section of mutual fund returns

2018 ◽  
Vol 50 (34-35) ◽  
pp. 3686-3701 ◽  
Author(s):  
Marco G. Ercolani ◽  
William Pouliot ◽  
Joanne S. Ercolani
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
Time Varying ◽  
The Cross ◽  
Over Time

scholarly journals Seasonal Asset Allocation: Evidence from Mutual Fund Flows

2017 ◽  
Vol 52 (1) ◽  
pp. 71-109 ◽  
Author(s):  
Mark J. Kamstra ◽  
Lisa A. Kramer ◽  
Maurice D. Levi ◽  
Russ Wermers
Keyword(s):  
Risk Aversion ◽  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Capital Gains ◽  
Fund Flows ◽  
Flow Data ◽  
Equity Funds ◽  
Mutual Fund Flows ◽  
Investor Preference

We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal an 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-gains 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 also in Australia, where seasons are offset by 6 months.

Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows

CFA Digest ◽  
2006 ◽  
Vol 36 (3) ◽  
pp. 64-65
Author(s):  
Frederick J. Cornelius
Keyword(s):  
Mutual Fund ◽  
Fund Flows ◽  
Mutual Fund Flows

Luck versus Skill in the Cross-Section of Mutual Fund Returns

CFA Digest ◽  
2011 ◽  
Vol 41 (1) ◽  
pp. 57-59 ◽  
Author(s):  
Claire Emory
Keyword(s):  
Cross Section ◽  
Mutual Fund ◽  
The Cross
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