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

Jacquelyn E. Humphrey; Karen L. Benson; Timothy J. Brailsford

doi:10.1111/j.1467-6281.2012.00374.x

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

Jacquelyn E. Humphrey^*, Karen L. Benson, Timothy J. Brailsford

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

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.

Original language	English
Pages (from-to)	34-45
Number of pages	12
Journal	Abacus
Volume	49
Issue number	1
DOIs	https://doi.org/10.1111/j.1467-6281.2012.00374.x
Publication status	Published - Mar 2013

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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.",

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

Abstract

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