Abstract

http://ssrn.com/abstract=1571838
 
 

References (38)



 
 

Citations (1)



 


 



Investor-Stock Decoupling in Mutual Funds


Miguel A. Ferreira


Nova School of Business and Economics; European Corporate Governance Institute (ECGI)

Massimo Massa


INSEAD - Finance

Pedro P. Matos


University of Virginia - Darden School of Business; European Corporate Governance Institute (ECGI)

September 29, 2013

AFA 2013 San Diego Meetings Paper
Marshall School of Business Working Paper No. FBE 07-10

Abstract:     
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 market upturns. Using a comprehensive sample of equity mutual funds from 26 countries, we find that funds experiencing a higher investor-stock decoupling (ISD) exhibit a higher performance. This association is more pronounced during the 2007-2008 financial crisis, and we provide evidence that funds with decoupled investors avoid asset-fire sales in adverse market conditions. We also find that fund ISD allows fund managers to take less risk, be more active, and tilt their portfolios toward smaller and less liquid stocks. Overall, we conclude that investor-stock decoupling alleviates limits to arbitrage in delegated fund management.

Number of Pages in PDF File: 51

Keywords: Mutual funds, Performance, Fund flows, Risk taking, Limits of arbitrage

JEL Classification: G23, G30, G32

working papers series





Download This Paper

Date posted: March 16, 2010 ; Last revised: September 30, 2013

Suggested Citation

Ferreira, Miguel A. and Massa, Massimo and Matos, Pedro P., Investor-Stock Decoupling in Mutual Funds (September 29, 2013). AFA 2013 San Diego Meetings Paper; Marshall School of Business Working Paper No. FBE 07-10. Available at SSRN: http://ssrn.com/abstract=1571838 or http://dx.doi.org/10.2139/ssrn.1571838

Contact Information

Miguel Almeida Ferreira (Contact Author)
Nova School of Business and Economics ( email )
Campus de Campolide
Lisbon, 1099-032
Portugal
European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Massimo Massa
INSEAD - Finance ( email )
Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 6072 4481 (Phone)
+33 1 6072 4045 (Fax)
Pedro P. Matos
University of Virginia - Darden School of Business ( email )
University of Virginia
P.O. Box 6550
Charlottesville, VA 22906-6550
United States
European Corporate Governance Institute (ECGI) ( email )
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Feedback to SSRN


Paper statistics
Abstract Views: 2,044
Downloads: 358
Download Rank: 47,634
References:  38
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.485 seconds