Abstract

http://ssrn.com/abstract=1571838
 
 

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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)

July 5, 2016

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 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.

Number of Pages in PDF File: 55

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

JEL Classification: G23, G30, G32


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Date posted: March 16, 2010 ; Last revised: July 7, 2016

Suggested Citation

Ferreira, Miguel A. and Massa, Massimo and Matos, Pedro P., Investor-Stock Decoupling in Mutual Funds (July 5, 2016). 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)

INSEAD Logo

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
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