Abstract

http://ssrn.com/abstract=1785820
 
 

References (49)



 
 

Citations



 


 



Are Mutual Funds Sitting Ducks?


Sophie Shive


University of Notre Dame - Department of Finance

Hayong Yun


Michigan State University - Department of Finance

July 1, 2011

AFA 2012 Chicago Meetings Paper

Abstract:     
We find that patient traders profit from the predictable, flow-induced trades of mutual funds. In anticipation of a 1%-of-volume change in mutual fund flows into a stock next quarter, the institutions in the same 13F category as hedge funds trade 0.31-0.45% of volume in the current quarter. A third of the trading is associated with the subset of 504 identified hedge funds. The effect is stronger when quarterly mutual fund portfolio disclosure is required and among hedge funds with more patient capital. A one standard deviation higher measure of anticipatory trading by a hedge fund is associated with a 0.9% higher annualized four-factor alpha. A one standard deviation higher measure of anticipation of a mutual fund's trades by institutions is associated with a 0.07-0.15% lower annualized four-factor alpha. The effect is stronger for more constrained mutual funds.

Keywords: Hedge Fund, Mutual Fund Flow

JEL Classification: G11

working papers series


Not Available For Download

Date posted: March 15, 2011 ; Last revised: October 8, 2012

Suggested Citation

Shive, Sophie and Yun, Hayong, Are Mutual Funds Sitting Ducks? (July 1, 2011). AFA 2012 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1785820 or http://dx.doi.org/10.2139/ssrn.1785820

Contact Information

Sophie Shive
University of Notre Dame - Department of Finance ( email )
P.O. Box 399
Notre Dame, IN 46556-0399
United States
Hayong Yun (Contact Author)
Michigan State University - Department of Finance ( email )
645 N Shaw Lane, Room 339
East Lansing, MI 48824-1122
United States
517-884-0549 (Phone)
HOME PAGE: http://https://sites.google.com/site/hayongy/
Feedback to SSRN


Paper statistics
Abstract Views: 913

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.359 seconds