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The simultaneous relation between fund flows and returns

Benson, Karen Leigh; Faff, Robert W; Smith, Tom

Description

We assess the simultaneous relation between fund flows and fund returns and show that current month flows and returns play a key role in understanding the flow/performance linkage. Current returns have a positive impact on current flows, suggesting that investors react quickly to performance information. However, current flows do not universally impact current returns. Notably, the pursuit of fund flows in large funds and established funds results in negative return impacts, yet it is these...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/36698
Source: Australian Journal of Management
DOI: 10.1177/0312896209354217

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