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Publication Detailed Description
Journal Title
Journal of Banking and Finance
Year (definitive publication)
2012
Language
English
Country
Netherlands
More Information
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Abstract
We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry. Higher country-level convexity is positively associated with higher levels of risk taking by fund managers.
Acknowledgements
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Keywords
Mutual funds; Flow-performance relationship; Mutual fund flows; Convexity
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
