{"title":"共同基金流量与回报动态:投资者偏好与业绩持续性","authors":"","doi":"10.1016/j.ribaf.2024.102485","DOIUrl":null,"url":null,"abstract":"<div><p>We investigate the flow-performance relationship by the lens of the investor preferences, applying a mutual fund dataset with an investment objective focused over European and US area. Incorporating a novel measure of asset managers’ market timing ability, we analyze the role played by performance persistence in mutual fund investing decisions by focusing on top performers in a short-time window. Our empirical results showed that preferences strongly influence the returns-flow dynamics when accounting for the asset type, geographical investment focus, and management style tilt, shedding new light on the behavior of certain clustered groups of investors. Furthermore, we find a long-run information effect as a proxy of a positive association between past returns and flows leading by the smart money effect. Surprisingly, we also observe irrational investors’ behavior when chasing for negative performers, likely due to a herding effect or flow persistent hypothesis as a result of the mechanisms of market allocation efficiency, which is likely to be affected by a slowdown functioning in the short-term phase. Robustness analyses confirm overall results.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3000,"publicationDate":"2024-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Mutual fund flows and returns dynamics: Investor preferences and performance persistence\",\"authors\":\"\",\"doi\":\"10.1016/j.ribaf.2024.102485\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We investigate the flow-performance relationship by the lens of the investor preferences, applying a mutual fund dataset with an investment objective focused over European and US area. Incorporating a novel measure of asset managers’ market timing ability, we analyze the role played by performance persistence in mutual fund investing decisions by focusing on top performers in a short-time window. Our empirical results showed that preferences strongly influence the returns-flow dynamics when accounting for the asset type, geographical investment focus, and management style tilt, shedding new light on the behavior of certain clustered groups of investors. Furthermore, we find a long-run information effect as a proxy of a positive association between past returns and flows leading by the smart money effect. Surprisingly, we also observe irrational investors’ behavior when chasing for negative performers, likely due to a herding effect or flow persistent hypothesis as a result of the mechanisms of market allocation efficiency, which is likely to be affected by a slowdown functioning in the short-term phase. Robustness analyses confirm overall results.</p></div>\",\"PeriodicalId\":51430,\"journal\":{\"name\":\"Research in International Business and Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Research in International Business and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0275531924002782\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531924002782","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Mutual fund flows and returns dynamics: Investor preferences and performance persistence
We investigate the flow-performance relationship by the lens of the investor preferences, applying a mutual fund dataset with an investment objective focused over European and US area. Incorporating a novel measure of asset managers’ market timing ability, we analyze the role played by performance persistence in mutual fund investing decisions by focusing on top performers in a short-time window. Our empirical results showed that preferences strongly influence the returns-flow dynamics when accounting for the asset type, geographical investment focus, and management style tilt, shedding new light on the behavior of certain clustered groups of investors. Furthermore, we find a long-run information effect as a proxy of a positive association between past returns and flows leading by the smart money effect. Surprisingly, we also observe irrational investors’ behavior when chasing for negative performers, likely due to a herding effect or flow persistent hypothesis as a result of the mechanisms of market allocation efficiency, which is likely to be affected by a slowdown functioning in the short-term phase. Robustness analyses confirm overall results.
期刊介绍:
Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance