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Mutual fund portfolio trading and investor flow

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  • Dubofsky, David A.
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    Abstract

    I estimate the extent to which mutual fund portfolio trading of securities is triggered by investor flows into and out of the funds, and find that this liquidity-induced portfolio trading activity is smaller than previously estimated by Edelen (1999). I obtain estimates from a much larger and broader sample of funds than Edelen's (1999) sample. Portfolio managers of international funds trade a smaller fraction of investor flow than do those of domestic funds. Index funds invest a larger fraction. A funds' usage of futures contracts does not have a statistically significant effect on how it trades in response to investor flows, but the unpredictability of investor flow weakly affects the trading response to flow.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 34 (2010)
    Issue (Month): 4 (April)
    Pages: 802-812

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    Handle: RePEc:eee:jbfina:v:34:y:2010:i:4:p:802-812

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Mutual funds Fund flows;

    References

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    Cited by:
    1. Singal, Vijay & Xu, Zhaojin, 2011. "Selling winners, holding losers: Effect on fund flows and survival of disposition-prone mutual funds," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2704-2718, October.
    2. Ciccotello, Conrad & Greene, Jason & Ling, Leng & Rakowski, David, 2011. "Capacity and factor timing effects in active portfoliomanagement," Journal of Financial Markets, Elsevier, vol. 14(2), pages 277-300, May.

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