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The dilution impact of daily fund flows on open-end mutual funds

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  • Greene, Jason T.
  • Hodges, Charles W.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45XT868-1/2/24f31768ce3afc22b5d603005608cb05
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 65 (2002)
    Issue (Month): 1 (July)
    Pages: 131-158

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    Handle: RePEc:eee:jfinec:v:65:y:2002:i:1:p:131-158

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    Web page: http://www.elsevier.com/locate/inca/505576

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    References

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    1. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    2. Massimo Massa & William N. Goetzmann, 1998. "Index Funds and Stock Market Growth," Yale School of Management Working Papers ysm99, Yale School of Management.
    3. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
    4. Dybvig, Philip H & Ross, Stephen A, 1985. " Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-99, June.
    5. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    6. 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.
    7. 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.
    8. Becker, Kent G & Finnerty, Joseph E & Gupta, Manoj, 1990. " The Intertemporal Relation between the U.S. and Japanese Stock Markets," Journal of Finance, American Finance Association, vol. 45(4), pages 1297-1306, September.
    9. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
    10. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    11. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-61, June.
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    Cited by:
    1. Dwyer Jr., Gerald P. & Samartín, Margarita, 2009. "Why do banks promise to pay par on demand?," Journal of Financial Stability, Elsevier, vol. 5(2), pages 147-169, June.
    2. Eric Zitzewitz, 2006. "How Widespread Was Late Trading in Mutual Funds?," American Economic Review, American Economic Association, vol. 96(2), pages 284-289, May.
    3. Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
    4. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
    5. Rong Lu & Baizhu Chen & Longbing Xu & Xinhou Xie, 2008. "Redemption puzzle of open-end fund market in China," Psychometrika, Springer, vol. 3(3), pages 430-450, September.
    6. Patrick E. McCabe, 2009. "The economics of the mutual fund trading scandal," Finance and Economics Discussion Series 2009-06, Board of Governors of the Federal Reserve System (U.S.).
    7. Fang, Jieyan & Ruenzi, Stefan, 2009. "Rapid Trading bei deutschen Aktienfonds: Evidenz aus einer großen deutschen Fondsgesellschaft," CFR Working Papers 09-04, University of Cologne, Centre for Financial Research (CFR).

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