TY - JOUR
T1 - Do fund flow-return relations depend on the type of investor? A research note
AU - Humphrey, Jacquelyn E.
AU - Benson, Karen L.
AU - Brailsford, Timothy J.
PY - 2013/3
Y1 - 2013/3
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84874962501&partnerID=8YFLogxK
U2 - 10.1111/j.1467-6281.2012.00374.x
DO - 10.1111/j.1467-6281.2012.00374.x
M3 - Article
AN - SCOPUS:84874962501
SN - 0001-3072
VL - 49
SP - 34
EP - 45
JO - Abacus
JF - Abacus
IS - 1
ER -