The Asymmetric Influence of Fund Flow on Fund Performance

23 Pages Posted: 14 Jun 2010 Last revised: 16 Jun 2010

See all articles by Hsin-Yi Yu

Hsin-Yi Yu

University of Edinburgh - Organisation Studies; National University of Kaohsiung; University of Edinburgh - Accounting and Finance

Li-Wen Chen

National Chung Cheng University

Yusin Lee

National Cheng Kung University

Date Written: June 14, 2010

Abstract

This paper examines the influence of fund flow on fund performance in US domestic equity funds from 1993 to 2008. We find that fund flow has an asymmetric influence on fund performance. Inflow will significantly push up simultaneous fund performance, whereas outflow does not significantly result in negative risk-adjusted returns. We also find suggestive evidence that the outperformance of funds experiencing inflow comes from flow-driven purchase, which means that funds with inflow may expand existing positions and create positive price pressure in overlapping positions.

Keywords: Fund cash flow, Fund performance, Asymmetric influence

JEL Classification: G11, G20

Suggested Citation

Yu, Hsin-Yi and Chen, Li-Wen and Lee, Yusin, The Asymmetric Influence of Fund Flow on Fund Performance (June 14, 2010). Available at SSRN: https://ssrn.com/abstract=1624743 or http://dx.doi.org/10.2139/ssrn.1624743

Hsin-Yi Yu (Contact Author)

University of Edinburgh - Organisation Studies ( email )

50 George Square
William Robertson Building
Edinburgh EH8 9JY
UNITED KINGDOM

National University of Kaohsiung ( email )

Kaohsiung, 803
Taiwan

University of Edinburgh - Accounting and Finance ( email )

William Robertson Building
Edinburgh EH8 9JY
United Kingdom

Li-Wen Chen

National Chung Cheng University ( email )

Min-Shiung, Chia-Yi, 621
Taiwan

Yusin Lee

National Cheng Kung University ( email )

No.1, University Road
Tainan
Taiwan

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