Work

Mutual Fund Attributes and Investor Behavior

Year: 2007

Type: article

Abstract: I study the dynamics of investor cash flows in socially responsible mutual funds. Consistent with anecdotal evidence of loyalty, the monthly volatility of investor cash flows is lower in socially responsible funds than in conventional funds. I find strong evidence that cash flows into socially responsible funds are more sensitive to lagged positive returns than cash flows into conventional funds, and weaker evidence that cash outflows from socially responsible funds are less sensitive to lagged negative returns. These results indicate that investors derive utility from the socially responsible attribute, especially when returns are positive.

Source: Journal of Financial and Quantitative Analysis

DOI: 10.1017/s0022109000004142

Author: Nicolas P. B. Bollen

Institution: Vanderbilt University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1975401618

FWCI: 27.21

Cites: 64

Cited by: 766

Related to: 10