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Mutual fund portfolio trading and investor flow

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

    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.

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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4X7R81B-1/2/b59e7dd1e5ef057e3da982be11ee3036
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

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

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    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

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