Measuring Mutual Fund Flow Pressure as Shock to Stock Returns

• 成果类型: Article
• 署名作者: Wardlaw, Malcolm
• 署名单位: University System of Georgia; University of Georgia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12962
• 发表日期: 2020
• 页码: 3221-3243
• 关键词: liquidity; prices; IMPACT

摘要

A large and rapidly growing literature examines the impact of misvaluation on firm policies by using mutual fund outflow-induced price pressure to isolate nonfundamental price variation. I demonstrate that the standard approach to computing outflow-induced price pressure produces a measure that is inadvertently a direct function of a stock's actual realized return during the outflow quarter, raising doubts about its orthogonality to fundamentals. After removing these direct measurements of return, outflows generate a fairly negligible quarterly decline in returns, with no subsequent reversal, and many established results in this literature no longer hold. I provide suggestions for future analysis.