Advanced Search
MyIDEAS: Login

Mutual fund portfolio trading and investor flow

Contents:

Author Info

  • Dubofsky, David A.
Registered author(s):

    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6VCY-4X7R81B-1/2/b59e7dd1e5ef057e3da982be11ee3036
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

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

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

    as in new window
    Handle: RePEc:eee:jbfina:v:34:y:2010:i:4:p:802-812

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Mutual funds Fund flows;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Mark M. Carhart & Ron Kaniel & David K. Musto & Adam V. Reed, 2002. "Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds," Journal of Finance, American Finance Association, vol. 57(2), pages 661-693, 04.
    2. Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," NBER Working Papers 9275, National Bureau of Economic Research, Inc.
    3. Ian Domowitz & Jack Glen & Ananth Madhavan, 2000. "Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time," William Davidson Institute Working Papers Series 322, William Davidson Institute at the University of Michigan.
    4. Jennifer Huang & Kelsey D. Wei & Hong Yan, 2007. "Participation Costs and the Sensitivity of Fund Flows to Past Performance," Journal of Finance, American Finance Association, vol. 62(3), pages 1273-1311, 06.
    5. Edelen, Roger M. & Warner, Jerold B., 2001. "Aggregate price effects of institutional trading: a study of mutual fund flow and market returns," Journal of Financial Economics, Elsevier, vol. 59(2), pages 195-220, February.
    6. Dickson, Joel M. & Shoven, John B. & Sialm, Clemens, 2000. "Tax Externalities of Equity Mutual Funds," National Tax Journal, National Tax Association, vol. 53(n. 3), pages 607-28, September.
    7. Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
    8. William N. Goetzmann & Massimo Massa, 2003. "Index Funds and Stock Market Growth," The Journal of Business, University of Chicago Press, vol. 76(1), pages 1-28, January.
    9. Bhargava, Rahul & Dubofsky, David A., 2001. "A note on fair value pricing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 339-354, February.
    10. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
    11. Jennifer Koski & Jeffrey Pontiff, 1996. "How Are Derivatives Used? Evidence from the Mutual Fund Industry," Center for Financial Institutions Working Papers 96-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
    12. Frino, Alex & Lepone, Andrew & Wong, Brad, 2009. "Derivative use, fund flows and investment manager performance," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 925-933, May.
    13. Friesen, Geoffrey C. & Sapp, Travis R.A., 2007. "Mutual fund flows and investor returns: An empirical examination of fund investor timing ability," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2796-2816, September.
    14. Greene, Jason T. & Hodges, Charles W. & Rakowski, David A., 2007. "Daily mutual fund flows and redemption policies," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3822-3842, December.
    15. Woodrow T. Johnson, 2004. "Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders," Journal of Finance, American Finance Association, vol. 59(5), pages 1979-2012, October.
    16. Eric Zitzewitz, 2003. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Journal of Law, Economics and Organization, Oxford University Press, vol. 19(2), pages 245-280, October.
    17. Chiraphol N. Chiyachantana & Pankaj K. Jain & Christine Jiang & Robert A. Wood, 2004. "International Evidence on Institutional Trading Behavior and Price Impact," Journal of Finance, American Finance Association, vol. 59(2), pages 869-898, 04.
    18. William F. Maxwell, 1998. "The January Effect in the Corporate Bond Market: A Systematic Examination," Financial Management, Financial Management Association, vol. 27(2), Summer.
    19. Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001. "Day Trading International Mutual Funds: Evidence and Policy Solutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(03), pages 287-309, September.
    20. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
    21. Cao, Charles & Chang, Eric C. & Wang, Ying, 2008. "An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2111-2123, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. 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.
    2. 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.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:34:y:2010:i:4:p:802-812. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.