Do Fund Flow-Return Relations Depend on the Type of Investor?

13 Pages Posted: 14 Aug 2009

See all articles by Jacquelyn Humphrey

Jacquelyn Humphrey

University of Queensland - Business School

Karen L. Benson

University of Queensland - Business School; Financial Research Network (FIRN)

Tim Brailsford

Bond University

Date Written: August 13, 2009

Abstract

This study investigates whether the relation between macro-level fund flow and market returns varies between the retail and institutional fund management markets. We find evidence of a contemporaneous relation between flow and market return for retail funds and also find evidence to support the notion that retail investors are feedback traders. In contrast, we find no relation between flow and market return for institutional funds, consistent with these investors being more informed than their retail counterparts. We find no evidence of flow inducing price pressure for either group of funds.

Keywords: funds, fund flow, aggregate fund flow

JEL Classification: G10, G11, G20, G23

Suggested Citation

Humphrey, Jacquelyn and Benson, Karen L. and Brailsford, Timothy John, Do Fund Flow-Return Relations Depend on the Type of Investor? (August 13, 2009). Available at SSRN: https://ssrn.com/abstract=1448386 or http://dx.doi.org/10.2139/ssrn.1448386

Jacquelyn Humphrey (Contact Author)

University of Queensland - Business School ( email )

4072 Brisbane Queensland
Australia

Karen L. Benson

University of Queensland - Business School ( email )

Brisbane, Queensland 4072
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Timothy John Brailsford

Bond University ( email )

Gold Coast, QLD 4229
Australia

HOME PAGE: http://www.bond.edu.au

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