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The flow-performance relationship around the world
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Mutual funds Flow-performance relationship Mutual fund flows Convexity
Contexto Educativo
Citação
This is a pre-copyedited, author-produced PDF of an article accepted for publication in Journal of Banking & Finance following peer review. The version of record Miguel A. Ferreira, Aneel Keswani, Antonio F. Miguel, and Sofia B. Ramos. 2012. “The Flow-Performance Relationship around the World.” Journal of Banking & Finance 36 (6): 1759–80. doi:10.1016/j.jbankfin.2012.01.019 is available at http://www.sciencedirect.com/science/article/pii/S0378426612000349
Editora
Journal of Banking & Finance