Do Fund Flow-Return Relations Depend on the Type of Investor?
13 Pages Posted: 14 Aug 2009
Date Written: August 13, 2009
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: Suggested Citation