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La relation entre flux d'entrées nets et performance des fonds. Une étude appliquée au cas des opcvm actions français

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  • Raphaëlle Bellando
  • Linh Tran-Dieu

Abstract

This article studies the flow-performance relationship in French equity mutual funds between 1992 and 2007. Using standard errors with clustering in two dimensions we find a convex relation between current net flows and past relative performance. For high performance funds, ranks of performance influence positively the flows of funds whereas for the medium or low performing funds, there is no significant effect of past performance. However, the relation seems qualitatively lower than in the American case. This is probably due to the specificities of French market, where most funds are distributed by banks. We also show that investors seem to consider rankings within funds categories defined by their geographic specialisation. They also appear concerned about short horizons relative performance and do not seem to consider the funds risk level. Moreover, convexity is more important for the “young” funds. Lastly, the convexity appears only in the standard market segments (France and Europe). Classification JEL : G11, G23.

Suggested Citation

  • Raphaëlle Bellando & Linh Tran-Dieu, 2011. "La relation entre flux d'entrées nets et performance des fonds. Une étude appliquée au cas des opcvm actions français," Revue économique, Presses de Sciences-Po, vol. 62(2), pages 255-275.
  • Handle: RePEc:cai:recosp:reco_622_0255
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    Cited by:

    1. Fadhila HAMZA & Anis JARBOUI, 2012. "Investor’s Commitment Bias and Escalation of Firm’s Investment Decision," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 15(2), pages 327-345, December.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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