The flow-performance relationship around the world

Ferreira, M. A., Keswani, A., Miguel, A. F. & Ramos, S. (2012). The flow-performance relationship around the world. Journal of Banking & Finance, 36(6), pp. 1759-1780. doi: 10.1016/j.jbankfin.2012.01.019

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Abstract

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.

Item Type: Article
Additional Information: © 2012, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Mutual funds; Flow-performance relationship; Mutual fund flows; Convexity
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/13634

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