The simultaneous relation between fund flows and returns

Benson, Karen L., Faff, Robert W. and Smith, Tom (2010) The simultaneous relation between fund flows and returns. Australian Journal of Management, 35 1: 51-18. doi:10.1177/0312896209354217

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Author Benson, Karen L.
Faff, Robert W.
Smith, Tom
Title The simultaneous relation between fund flows and returns
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 0312-8962
1327-2020
Publication date 2010-04-01
Sub-type Article (original research)
DOI 10.1177/0312896209354217
Volume 35
Issue 1
Start page 51
End page 18
Total pages 28
Place of publication London, United Kindom
Publisher Sage Publications
Collection year 2011
Language eng
Subject C1
150201 Finance
900101 Finance Services
Abstract 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 returns that drive investor decisions. Investors in institutional funds are able to identify high/low return funds and react in the current period resulting in an apparent positive impact of flows on returns. © The Author(s) 2010.
Keyword Contemporaneous linkage
Endogeneity
Mutual fund flows
Mutual fund returns
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Faculty of Business, Economics and Law -- Publications
Official 2011 Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 6 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 5 times in Scopus Article | Citations
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Created: Sun, 09 May 2010, 10:05:58 EST