Running from a Bear: How Poor Stock Market Performance Affects the Determinants of Mutual Fund Flows

20 Pages Posted: 13 Oct 2009

See all articles by David G. Shrider

David G. Shrider

Miami University of Ohio - Richard T. Farmer School of Business Administration

Date Written: 2009-02

Abstract

Using a proprietary data set to study how past performance affects the determinants of mutual fund flows for a sample of load fund investors, I provide evidence that the determinants of fund flow depend on market conditions for both redemptions and purchases. Specifically, I show that, for redemptions, relative performance and risk adjusted performance are important determinants during a period of record flows into mutual funds. Conversely, during a period of poor performance, absolute performance becomes much more important and relative performance and risk adjusted performance become less important. For purchases, absolute performance, risk adjusted performance, and most relative performance measures become more important during the bear market.

Suggested Citation

Shrider, David G., Running from a Bear: How Poor Stock Market Performance Affects the Determinants of Mutual Fund Flows (2009-02). Journal of Business Finance & Accounting, Vol. 36, Issue 7-8, pp. 987-1006, September/October 2009, Available at SSRN: https://ssrn.com/abstract=1486378 or http://dx.doi.org/10.1111/j.1468-5957.2009.02149.x

David G. Shrider (Contact Author)

Miami University of Ohio - Richard T. Farmer School of Business Administration ( email )

Oxford, OH 45056
United States
513-529-8792 (Phone)
513-529-8598 (Fax)

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