Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note |
| |
Authors: | Jacquelyn E Humphrey Karen L Benson Timothy J Brailsford |
| |
Institution: | 1. Finance, Research School of Finance, Actuarial Studies and Applied Statistics, Australian National University;2. Finance, UQ Business School, The University of Queensland;3. Bond University |
| |
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 |
|
|