Year: 2001
Type: preprint
Abstract: In contrast to the cross-sectional methodology used in the existing fund flow literature, we use event-study methods on a sample of 3,388 domestic equity mutual funds from November 1996 to October 1999. This approach allows us to isolate the flow response to a highly specific piece of information on fund quality, as separate from other influences on fund flow. As a result, we are able to address questions regarding the timeliness and asymmetry of the investor flow response to new information that cannot be inferred from a cross-sectional analysis. As we show, Morningstar star ratings changes are particularly well suited for such an analysis. We find that a 5-star rating has a large effect on fund flow, whether as an initial
Authors: Diane Del Guercio, Paula A. Tkac
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3125568870