Abstract

https://ssrn.com/abstract=1907904
 
 

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Seasonal Asset Allocation: Evidence from Mutual Fund Flows


Mark J. Kamstra


York University - Schulich School of Business

Lisa A. Kramer


University of Toronto - Rotman School of Management

Maurice D. Levi


University of British Columbia (UBC) - Sauder School of Business

Russ Wermers


University of Maryland - Robert H. Smith School of Business

March 2015

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Abstract:     
We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds average $13 billion, controlling for previously documented flow determinants (e.g., capital-gain overhang). This movement of large amounts of money between fund categories is correlated with seasonality in investor risk aversion, consistent with investors preferring safer (riskier) investments in autumn (spring). We find consistent evidence in Canada, and in Australia where seasons are offset by six months.

Number of Pages in PDF File: 127

Keywords: household finance, mutual fund flow seasonality, net exchanges, net flows, sentiment, time-varying risk aversion, risk tolerance

JEL Classification: G11


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Date posted: November 17, 2011 ; Last revised: September 4, 2015

Suggested Citation

Kamstra, Mark J. and Kramer, Lisa A. and Levi, Maurice D. and Wermers, Russ, Seasonal Asset Allocation: Evidence from Mutual Fund Flows (March 2015). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: https://ssrn.com/abstract=1907904 or http://dx.doi.org/10.2139/ssrn.1907904

Contact Information

Mark J. Kamstra
York University - Schulich School of Business ( email )
4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
Lisa A. Kramer (Contact Author)
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada
416-978-2496 (Phone)
416-971-3048 (Fax)
HOME PAGE: http://www.chass.utoronto.ca/~lkramer

Maurice David Levi
University of British Columbia (UBC) - Sauder School of Business ( email )
2053 Main Mall
Henry Angus 865
Vancouver BC V6T 1Z2
Canada
604-822-8260 (Phone)
604-822-8521 (Fax)
Russell R. Wermers
University of Maryland - Robert H. Smith School of Business ( email )
Department of Finance
College Park, MD 20742-1815
United States
301-405-0572 (Phone)
301-405-0359 (Fax)
HOME PAGE: http://www.rhsmith.umd.edu/finance/rwermers/
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