Aggregate price effects of institutional trading: a study of mutual fund flow and market returns

• 成果类型: Article
• 署名作者: Edelen, RM; Warner, JB
• 署名单位: University of Rochester; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00085-4
• 发表日期: 2001
• 页码: 195-220
• 关键词: mutual funds; Institutional trading; Price impact

摘要

We study the relation between market returns and aggregate flow into U.S. equity funds, using daily flow data. The concurrent daily relation is positive. Our tests show that this concurrent relation reflects Row and institutional trading affecting returns. This daily relation is similar in magnitude to the price impact reported for an individual institution's trades in a stock. Aggregate flow also follows market returns with a one-day lag. The lagged response of flow suggests either a common response of both returns and now to new information, or positive feedback trading. (C) 2001 Elsevier Science S.A. All rights reserved. JEL classification: G23; G14.