Mutual Fund Attributes and Investor Behavior

41 Pages Posted: 7 May 2006


I study the dynamics of investor cash flows in socially responsible mutual funds. Consistent with anecdotal evidence of loyalty, the monthly volatility of investor cash flows is lower in socially responsible funds than conventional funds. I find strong evidence that cash flows into socially responsible funds are more sensitive to lagged positive returns than cash flows into conventional funds, and weaker evidence that cash outflows from socially responsible funds are less sensitive to lagged negative returns. These results indicate that investors derive utility from the socially responsible attribute, especially when returns are positive.

Keywords: socially responsible investing, mutual funds, behavioral finance, fund flows

JEL Classification: G11

Suggested Citation

Bollen, Nicolas P.B., Mutual Fund Attributes and Investor Behavior. Journal of Financial and Quantitative Analysis, Forthcoming, Available at SSRN:

Nicolas P.B. Bollen (Contact Author)

Vanderbilt University - Finance ( email )

401 21st Avenue South
Nashville, TN 37203
United States

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