Investor flows and the assessed performance of open-end mutual funds

• 成果类型: Article
• 署名作者: Edelen, RM
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00028-8
• 发表日期: 1999
• 页码: 439-466
• 关键词: MUTUAL FUND PERFORMANCE; MUTUAL FUND FLOWS; Market timing

摘要

Open-end equity funds provide a diversified equity positions with little direct cost to investors for liquidity. This study documents a statistically significant indirect cost in the form of a negative relation between a fund's abnormal return and investor flows. Controlling for this indirect cost of liquidity changes the average fund's abnormal return (net of expenses) from a statistically significant - 1.6% per year to a statistically insignificant - 0.2% and also fully explains the negative market-timing performance found in this and other studies of mutual fund returns. Thus, the common finding of negative return performance at open-end mutual funds is attributable to the costs of liquidity-motivated trading. (C) 1999 Elsevier Science S.A. All rights reserved.