The authors are grateful for the comments from two anonymous referees. We also thank Robert Faff, Tom Smith and participants at the American Society of Business and Behavioral Sciences Conference 2009 for helpful comments, and Alan McCrystal for programming assistance.
Do Fund Flow-Return Relations Depend on the Type of Investor? A Research Note
Version of Record online: 21 NOV 2012
© 2012 The Authors. Abacus © 2012 Accounting Foundation, The University of Sydney
Volume 49, Issue 1, pages 34–45, March 2013
How to Cite
Humphrey, J. E., Benson, K. L. and Brailsford, T. J. (2013), Do Fund Flow-Return Relations Depend on the Type of Investor? A Research Note. Abacus, 49: 34–45. doi: 10.1111/j.1467-6281.2012.00374.x
- Issue online: 7 MAR 2013
- Version of Record online: 21 NOV 2012
- Aggregate fund flow;
- Fund flow;
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.