Mutual Fund Portfolio Trading and Investor Flow

43 Pages Posted: 5 Jun 2008

See all articles by David A. Dubofsky

David A. Dubofsky

University of Louisville - Department of Finance

Date Written: December 1, 2007

Abstract

I estimate the extent to which mutual fund portfolio trading of securities is triggered by investor flows into and out of the funds, and find that this liquidity-induced portfolio trading activity is smaller than previously estimated by Edelen (1999). Estimates are obtained from a much larger and broader sample of funds than Edelen's (1999) sample. Portfolio managers of international funds trade a smaller fraction of investor flow than do those of domestic funds. Index funds invest a larger fraction. Funds' usage of futures contracts does not have a statistically significant effect on how funds trade in response to investor flows, but the unpredictability of investor flow weakly affects the trading response to flow.

Keywords: Mutual fund flows, International mutual funds, Market timing

JEL Classification: G11, G23

Suggested Citation

Dubofsky, David A., Mutual Fund Portfolio Trading and Investor Flow (December 1, 2007). Louisville College of Business Research Paper No. 2008-03, Available at SSRN: https://ssrn.com/abstract=1140348 or http://dx.doi.org/10.2139/ssrn.1140348

David A. Dubofsky (Contact Author)

University of Louisville - Department of Finance ( email )

PO BOX 844000
Louisville, KY 40292
United States
502-852-3016 (Phone)
502-852-6072 (Fax)

HOME PAGE: http://cobweb2.louisville.edu/profile/Dubofsky.html

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