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The flow-performance relationship around the world

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  • Ferreira, Miguel A.
  • Keswani, Aneel
  • Miguel, Antonio F.
  • Ramos, Sofia B.

Abstract

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry. Higher country-level convexity is positively associated with higher levels of risk taking by fund managers.

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Bibliographic Info

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

Volume (Year): 36 (2012)
Issue (Month): 6 ()
Pages: 1759-1780

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Handle: RePEc:eee:jbfina:v:36:y:2012:i:6:p:1759-1780

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

Related research

Keywords: Mutual funds; Flow-performance relationship; Mutual fund flows; Convexity;

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References

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Citations

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Cited by:
  1. Salganik, G., 2010. "Essays on investment flows of hedge fund and mutual fund investors," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4378358, Tilburg University.
  2. Hombert, Johan & Thesmar, David, 2014. "Overcoming limits of arbitrage: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 111(1), pages 26-44.
  3. Hau, Harald & Lai, Sandy, 2012. "Real Effects of Stock Underpricing," CEPR Discussion Papers 8820, C.E.P.R. Discussion Papers.
  4. Sermin Gungor & Jesus Sierra, 2014. "Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy," Working Papers 14-3, Bank of Canada.
  5. Carmen Pilar Martí Ballester, 2014. "Determinants of equity pension plan flows," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 125-148, June.
  6. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
  7. Martí Ballester, Carmen Pilar, 2013. "Determinants of equity pension plan flows," Economics Discussion Papers 2013-15, Kiel Institute for the World Economy.
  8. Fabian Irek, & Jan Jaap Hazenberg & Willem van der Scheer, 2013. "The Lure of the Brand: Evidence from the European Mutual Fund Industry," CREA Discussion Paper Series 13-8, Center for Research in Economic Analysis, University of Luxembourg.
  9. Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco, 2014. "Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 58-77.
  10. Fabian Irek, & Jan Jaap Hazenberg & Willem van der Scheer & Mariela Stefanova, 2013. "The Lure of the Brand: Evidence from the European Mutual Fund Industry," LSF Research Working Paper Series 13-8, Luxembourg School of Finance, University of Luxembourg.

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