Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note

12 Pages Posted: 9 Mar 2013

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: March 2013

Abstract

This study investigates whether the relation between aggregate fund flow and market returns differs between retail and institutional funds. For the retail fund sample, we document a contemporaneous relation between flow and market returns and also find evidence of feedback trading. In contrast, there is little evidence of a relation between flow and market returns for the institutional fund sample. Consequently, it appears that retail and institutional fund investors use different investment strategies, with retail investors following a more naive strategy. We find no evidence of flow inducing price pressure for either type of fund.

Keywords: Aggregate fund flow, Fund flow, Funds

Suggested Citation

Humphrey, Jacquelyn and Benson, Karen L. and Brailsford, Timothy John, Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note (March 2013). Abacus, Vol. 49, Issue 1, pp. 34-45, 2013, Available at SSRN: https://ssrn.com/abstract=2230749 or http://dx.doi.org/10.1111/j.1467-6281.2012.00374.x

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
1
Abstract Views
501
PlumX Metrics