Investor-Stock Decoupling in Mutual Funds

• 成果类型: Article
• 署名作者: Ferreira, Miguel A.; Massa, Massimo; Matos, Pedro
• 署名单位: Universidade Nova de Lisboa; INSEAD Business School; University of Virginia
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2681
• 发表日期: 2018
• 页码: 2144-2163
• 关键词: mutual funds; performance; Fund flows; risk taking; Limits to arbitrage

摘要

We investigate whether mutual funds whose investors and stocks are decoupled (i.e., investor location does not coincide with that of the stock holdings) benefit from a natural hedge as they have fewer outflows during market downturns and fewer inflows during upturns. Using a sample of equity mutual funds from 26 countries, we find that funds with higher investor-stock decoupling exhibit higher performance, and this is more pronounced during the 2007-2008 financial crisis. We also find that decoupling allows fund managers to take less risk, be more active, and tilt their portfolios toward smaller and less liquid stocks.