Document Type

Article

Publication Date

Spring 2012

Publication Title

International Journal of Portfolio Analysis and Management

Volume

1

Issue

2

Pages

144-160

Abstract

Common factors in mutual fund flows explain significant fractions of annual and quarterly flows to individual US mutual funds. The factors are persistent and correlated with financial market conditions and macroeconomic variables. We find evidence that the common factors in investor flows are forward looking, although subject to frictions. The systematic components of flows differ substantially across funds according to funds’ ‘flow betas’. High-performing funds’ common factor flows bear an option-like relation to the aggregate sector flows, suggesting a new dimension in the incentives of fund managers. High flow beta funds offer low subsequent returns, consistent with adverse price pressure effects.

Comments

Author Posting. © Inderscience 2012. This article is posted here by permission of Inderscience for personal use, not for redistribution. The article was published in the International Journal of Portfolio Analysis and Management, vol. 1, no. 2, 2012, https://doi.org/10.1504/IJPAM.2012.049202

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

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