The dilution impact of daily fund flows on open-end mutual funds

• 成果类型: Article
• 署名作者: Greene, JT; Hodges, CW
• 署名单位: University System of Georgia; Georgia State University; University System of Georgia; University of West Georgia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00137-X
• 发表日期: 2002
• 页码: 131-158
• 关键词: mutual funds; FLOWS; daily fund flows

摘要

We examine how mutual fund flows that are correlated with subsequent fund returns can have a dilution impact on the performance of open-end funds. Active trading of open-end funds has a meaningful economic impact on the returns of passive, nontrading shareholders, particularly in U.S.-based international funds. The overall sample of domestic equity funds shows no dilution impact, but we find an annualized negative impact of 0.48% in international funds (and nearly 1% for a subsample of funds whose daily flows are particularly large). The exchange and pricing policies of mutual funds can thus have important performance-related implications. (C) 2002 Elsevier Science B.V. All rights reserved.