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Determinanten der Mittelzuflüsse bei deutschen Aktienfonds

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  • Ber, Silke
  • Kempf, Alexander
  • Ruenzi, Stefan

Abstract

In der vorliegenden Arbeit werden erstmals die Determinanten der Zuflüsse deutscher Aktienfonds empirisch untersucht. Für den Untersuchungszeitraum von 1991 bis 2003 finden wir einige interessante Unterschiede zum US-Markt. Zunächst bestätigen wir die in der Literatur dokumentierte positiv konvexe Beziehung zwischen vergangener Performance eines Fonds und seinen Netto-Zuflüssen, die aber in Deutschland weniger stark ausgeprägt ist als in den USA. Wir zeigen außerdem, dass die Eigenschaften der Fondsgesellschaft, zu der ein Fonds gehört, einen wesentlichen Einfluss auf dessen Zuflüsse haben. Insbesondere zeigen wir erstmals, dass es einen Kannibalisierungseffekt innerhalb von Fondsfamilien gibt, der besonders zwischen Fonds zu beobachten ist, die im gleichen Marktsegment angeboten werden. Unsere Ergebnisse haben wichtige Implikationen für das Risikoverhalten von Fondsmanagern sowie die Produktpolitik von Fondsgesellschaften. -- The determinants of German mutual fund flows have not been considered in the literature on Mutual Funds so far. In this paper we document some interesting differences between the German and the US mutual fund market. In our study, which covers the time period from 1991 to 2003, we confirm the positive and convex performance-flow-relationship, which is well documented for the US Mutual fund market. However, in Germany it is not as pronounced as in the US. Additionally we show that net inflows in German mutual funds depend vitally on the characteristics of the fund company the fund belongs to. Particularly, we are able to provide evidence of funds offered by the same family acting as rivals, which applies especially for funds belonging to the same market segment. Our results have important implications for the risk taking behaviour of fund managers and the product policy of fund families.

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Bibliographic Info

Paper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 05-11.

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Date of creation: 2005
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Handle: RePEc:zbw:cfrwps:0511

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References

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  1. 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, American Finance Association, vol. 62(3), pages 1273-1311, 06.
  2. Goetzmann, William N & Peles, Nadav, 1997. "Cognitive Dissonance and Mutual Fund Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 145-58, Summer.
  3. 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.
  4. Alexander Kempf & Stefan Ruenzi, 2004. "Family Matters: The Performance Flow Relationship in the Mutual Fund Industry," Finance, EconWPA 0404012, EconWPA, revised 26 May 2004.
  5. Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, University of Chicago Press, vol. 35(1), pages 45-70, April.
  6. Vikram Nanda, 2004. "Family Values and the Star Phenomenon: Strategies of Mutual Fund Families," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 17(3), pages 667-698.
  7. Jonathan B. Berk & Richard C. Green, 2002. "Mutual Fund Flows and Performance in Rational Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp100, International Center for Financial Asset Management and Engineering.
  8. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. " Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 85-110, March.
  9. William N. Goetzmann & Nadav Peles, 1997. "Cognitive Dissonance And Mutual Fund Investors," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 145-158, 06.
  10. Krahnen, Jan Pieter & Schmid, Frank A. & Theissen, Erik, 1997. "Performance and market share: Evidence from the German mutual fund industry," CFS Working Paper Series 1997/01, Center for Financial Studies (CFS).
  11. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
  12. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  13. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, American Finance Association, vol. 53(5), pages 1589-1622, October.
  14. Thomas Dangl & Youchang Wu & Josef Zechner, 2008. "Market Discipline and Internal Governance in the Mutual Fund Industry," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(5), pages 2307-2343, September.
  15. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 719R, Cowles Foundation for Research in Economics, Yale University.
  16. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
  17. R. Mark Isaac & Duncan James, 2000. "Asset Markets: How They Are Affected by Tournament Incentives for Individuals," American Economic Review, American Economic Association, American Economic Association, vol. 90(4), pages 995-1004, September.
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Cited by:
  1. Daniel Schmidt & Frank Schmielewski, 2012. "Consumer reaction on tumbling funds - Evidence from retail fund outflows during the financial crisis 2007/2008," Working Paper Series in Economics, University of Lüneburg, Institute of Economics 228, University of Lüneburg, Institute of Economics.
  2. Krahnen, Jan Pieter & Schmid, Frank A. & Theissen, Erik, 2006. "Investment performance and market share: A study of the German mutual fund industry," CFS Working Paper Series 2006/06, Center for Financial Studies (CFS).

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