AGGREGATE MUTUAL FUND FLOWS AND SECURITY RETURNS

• 成果类型: Article
• 署名作者: WARTHER, VA
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00827-2
• 发表日期: 1995
• 页码: 209-235
• 关键词: mutual funds; Investment flows; momentum; PRICE PRESSURES

摘要

In this paper I find that aggregate security returns are highly correlated with concurrent unexpected cash flows into mutual funds, but unrelated to concurrent expected flows. An unexpected inflow equal to 1% of total stock fund assets ($4.75 billion) corresponds to a 5.7% increase in the stock price index. Further, fund flows are correlated with the returns of the securities held by the funds, but not with the returns of other types of securities. I find evidence of a positive relation between flows and subsequent returns and evidence of a negative relation between returns and subsequent flows.