Mutual Fund Flows and the Information Channel of the Risk-free Rate

51 Pages Posted: 28 Jun 2019 Last revised: 9 Aug 2019

See all articles by Miguel De Jesus

Miguel De Jesus

Colegio Universitario de Estudios Financieros (CUNEF)

Date Written: August 7, 2019


I establish that US domestic equity mutual fund flows depend less on past fund returns when the risk-free rate declines. I demonstrate through a model of portfolio allocation with endogenous information that this novel finding is consistent with more privately informed fund investors when rates fall. To further validate this claim, I test the model's cross-sectional prediction that the weakening of the flow-performance relationship is more pronounced when information barriers are higher. Finally, as more direct evidence for this up-to-now overlooked information channel, I obtain that there are more page visits to online fund filings when interest rates are low.

Keywords: Flow-performance relationship of mutual funds, Asset allocation, Interest rates, Costly private information acquisition, Learning of mutual fund investors

JEL Classification: D82, D83, E44, G11, G23

Suggested Citation

De Jesus, Miguel, Mutual Fund Flows and the Information Channel of the Risk-free Rate (August 7, 2019). Available at SSRN: or

Miguel De Jesus (Contact Author)

Colegio Universitario de Estudios Financieros (CUNEF) ( email )

Calle de Leonardo Prieto Castro, 2
Madrid, Madrid 28040
914480892 (Phone)
914480892 (Fax)


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