Endogeneity in the mutual fund flow-performance relationship: An Instrumental Variable Solution

2020 ◽  
Author(s):  
David A. Rakowski ◽  
Ehab Abdel-Tawab Yamani
Keyword(s):  
Mutual Fund ◽  
Instrumental Variable ◽  
Fund Flow

What is mutual fund flow?

2019 ◽  
Vol 62 ◽  
pp. 222-251 ◽  
Author(s):  
Douglas Cumming ◽  
Sofia Johan ◽  
Yelin Zhang
Keyword(s):  
Mutual Fund ◽  
Fund Flow

Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure

2019 ◽  
Vol 65 (11) ◽  
pp. 5427-5448 ◽  
Author(s):  
Johan Sulaeman ◽  
Kelsey D. Wei
Keyword(s):  
Mutual Fund ◽  
Fund Flow ◽  
Stock Mispricing

Fund Flow Volatility and Performance

2009 ◽  
Vol 45 (1) ◽  
pp. 223-237 ◽  
Author(s):  
David Rakowski
Keyword(s):  
Mutual Fund ◽  
Negative Relationship ◽  
Fund Flows ◽  
Cross Sectional ◽  
Fund Flow ◽  
Performance Differences ◽  
Significant Negative Relationship ◽  
Equity Funds ◽  
And Performance ◽  
The Impact

AbstractThis paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not with performance differences arising from the suboptimal cash holdings that arise from fund flows.

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