Investors' Differential Response to Managed Fund Performance
Year: 2001
Type: article
Abstract: Several studies measuring the flow of monies into and out of U.S. mutual funds note a convexity in the performance‐flow relation and offer several explanations for the apparent investor insensitivity to poor performance. In this study investor response to past performance is measured in a different setting: the Australian wholesale funds market. The results confirm that, like the U.S. mutual fund investor, institutional investors in Australia react to recent performance. However, a similar response asymmetry is not detected in most tests. Evidence that small, young funds are potential drivers of the asymmetric response effect is also provided. JEL classification: G10, G14
Author: J. Sawicki
Institution: Nanyang Technological University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2018370045