Do fund flow-return relations depend on the type of investor? A research note

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

Research output: Contribution to journalArticleResearchpeer-review

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 languageEnglish
Pages (from-to)34-45
Number of pages12
JournalAbacus
Volume49
Issue number1
DOIs
Publication statusPublished - Mar 2013

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Investors
Fund flows
Retail
Market returns
Price pressure
Investment strategy
Feedback trading

Cite this

Humphrey, Jacquelyn E. ; Benson, Karen L. ; Brailsford, Timothy J. / Do fund flow-return relations depend on the type of investor? A research note. In: Abacus. 2013 ; Vol. 49, No. 1. pp. 34-45.
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Do fund flow-return relations depend on the type of investor? A research note. / Humphrey, Jacquelyn E.; Benson, Karen L.; Brailsford, Timothy J.

In: Abacus, Vol. 49, No. 1, 03.2013, p. 34-45.

Research output: Contribution to journalArticleResearchpeer-review

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