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Do fund flow-return relations depend on the type of investor? A research note.

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dc.contributor.authorHumphrey, Jacquelyn
dc.contributor.authorBenson, Karen Leigh
dc.contributor.authorBrailsford, Timothy John
dc.date.accessioned2015-12-07T22:54:08Z
dc.date.issued2013
dc.date.updated2016-02-24T11:13:19Z
dc.description.abstractThis study investigates whether the relation between aggregate fund flow and market returns differs between retail and institutional funds. For the retail fund sample, we document a contemporaneous relation between flow and market returns and also find evidence of feedback trading. In contrast, there is little evidence of a relation between flow and market returns for the institutional fund sample. Consequently, it appears that retail and institutional fund investors use different investment strategies, with retail investors following a more naive strategy. We find no evidence of flow inducing price pressure for either type of fund.
dc.identifier.issn0001-3072
dc.identifier.urihttp://hdl.handle.net/1885/28042
dc.publisherUniversity of Sydney Press
dc.sourceAbacus
dc.subjectKeywords: Aggregate fund flow; Fund flow; Funds
dc.titleDo fund flow-return relations depend on the type of investor? A research note.
dc.typeJournal article
local.bibliographicCitation.issue1 (March 2013)
local.bibliographicCitation.lastpage45
local.bibliographicCitation.startpage34
local.contributor.affiliationHumphrey, Jacquelyn, College of Business and Economics, ANU
local.contributor.affiliationBenson, Karen Leigh, University of Queensland
local.contributor.affiliationBrailsford, Timothy John, University of Queensland
local.contributor.authoruidHumphrey, Jacquelyn, u4867228
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150205 - Investment and Risk Management
local.identifier.absfor150201 - Finance
local.identifier.absseo900102 - Investment Services (excl. Superannuation)
local.identifier.absseo970115 - Expanding Knowledge in Commerce, Management, Tourism and Services
local.identifier.ariespublicationu4602557xPUB55
local.identifier.citationvolume49
local.identifier.doi10.1111/j.1467-6281.2012.00374.x
local.identifier.scopusID2-s2.0-84874962501
local.type.statusPublished Version

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