scholarly journals Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand

2021 ◽  
Vol 10 (1) ◽  
pp. 37-44
Author(s):  
Roongkiat Ratanabanchuen ◽  
Kanis Saengchote
Keyword(s):  
Mutual Funds ◽  
Capital Markets ◽  
Public Policies ◽  
Systematic Risk ◽  
Unintended Consequences ◽  
Risk Exposure ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Tax Benefits ◽  
High Beta

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.

scholarly journals Investor Attrition and Fund Flows in Mutual Funds

2017 ◽  
Vol 52 (3) ◽  
pp. 867-893 ◽  
Author(s):  
Susan E. K. Christoffersen ◽  
Haoyu Xu
Keyword(s):  
Mutual Funds ◽  
Poor Performance ◽  
Fund Flows ◽  
Performance Sensitivity ◽  
Equity Mutual Funds

We explore the properties of equity mutual funds that experience a loss of assets after poor performance. We document that both inflows and outflows are less sensitive to performance, because performance-sensitive investors leave or decide not to invest after bad performance. Consistent with the idea that attrition measures the sorting of performance-sensitive investors, we find that attrition has less of an impact on the fund’s flow–performance sensitivity for institutional funds where there is less dispersion in investor performance sensitivity. Also, attrition has no effect on the flow–performance sensitivity when attrition arises after good performance or investors invest for nonperformance reasons.

scholarly journals Capital markets in Central and Eastern Europe: two selected cases

2017 ◽  
Vol 11 (1) ◽  
pp. 597-606 ◽  
Author(s):  
Luminiţa Nicolescu ◽  
Florentin Gabriel Tudorache
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Capital Markets ◽  
Mutual Fund ◽  
Global Financial Crisis ◽  
Fund Flows ◽  
Past Performance ◽  
Individual Level ◽  
The Global Financial Crisis ◽  
Mutual Fund Flows

Abstract The evolution of mutual funds in terms of their inflows and outflows is seen as a good indicator of the capital markets’ performance in different countries. At individual level, investors substantiate their buying decisions on the past performance information and invest asymmetrically in funds with very good performance in the previous periods. Numerous studies, mainly conducted in US, illustrate that mutual fund flows are highly dependent on the funds’ previous performance, as a common behavior of investors resides in looking for highly performing funds than to get rid of poorly performing ones. This paper investigates the flows of funds into and out of Slovakian and Hungarian mutual funds during the period 2007-2014 and has as main purpose to analyze the behavior of investors in mutual funds in these two emerging financial markets. The analysis focuses on identifying patterns in investors’ decision making processes and on checking the similarity of their behavioral patterns and illustrating differences among the two. Given the peculiarities of the studied period, a financially turbulent period, the paper also tries to evaluate if and how the financial crisis affected the investing behavior of Slovakian and Hungarian investors, based on the evolution of inflows and outflows of funds in a period that comprises the global financial crisis and the present period in which recovery has started.

scholarly journals Mutual fund flow-performance dynamics under different market conditions in South Africa

2021 ◽  
Vol 18 (1) ◽  
pp. 236-249
Author(s):  
Richard Apau ◽  
Paul-Francois Muzindutsi ◽  
Peter Moores-Pitt
Keyword(s):  
South Africa ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Flows ◽  
Past Performance ◽  
Market Conditions ◽  
Fund Flow ◽  
Dynamic Relationship ◽  
Equity Mutual Funds ◽  
Performance Effects

Questions regarding the specific factors that drive continuous cash allocations by investors into portfolios of actively managed funds, despite consistent underperformance, continue to remain an inexhaustive aspect of the literature that calls for further investigations. This study assesses the dynamic relationship between fund flow and performance of equity mutual funds in South Africa under different market conditions. The study employs a GMM technique to analyze the panel data of 52 South African equity mutual funds from 2006 to 2019. The analysis found that convexity is prevalent in the flow-performance relationship, where fund contributors in subsequent periods allocate recent underperforming and outperforming funds disproportionate cash. This finding is evident in the lack of significance in the past performance effects on subsequent fund flows. The study found that lagged fund flows, fund size, fund risk, and market risk drive subsequent fund flows under changing conditions of the general market and fund markets. Overall, it is posited that fund contributors and asset administrators adapt to prevailing market dynamics relative to trading decisions. As a result, this affirms the normative guidelines of the Adaptive Markets Hypothesis, leading to the conclusion that exogenous factors drive fluctuations in fund flows in South Africa.

scholarly journals The Effect of Performance on Israeli Equity Fund Flows

2017 ◽  
Vol 6 (4) ◽  
pp. 272
Author(s):  
Ofer Arbaa ◽  
Eva Varon ◽  
Uri Benzion
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investor Behavior ◽  
Fund Flows ◽  
Past Performance ◽  
Equity Fund ◽  
Equity Mutual Funds ◽  
The Us ◽  
Mutual Fund Flows ◽  
Net Flows

This paper examines the influence of past performance on Israeli equity mutual funds' net flows between January 2004 and July 2014, using the most recommended and reliable two-cluster regression methodology. Apparently, Israeli investors are more sensitive to risk adjusted returns than absolute returns and the most recent performance seems to be more influential on fund flows than on longer-term past performance. Moreover, investors flock to the latest winners and do not leave the funds with the poorest performance. The effect of past performance seems to be more salient on flows of advertised funds than of those with no advertisement.  The results in Israel augment the scant work on mutual fund flows outside the US and add support to a growing body of literature documenting irrational investor behavior worldwide. 

scholarly journals Performance, Expenses and Funds Flows: Evidence from the Greek Mutual Fund Market

2014 ◽  
Vol 3 (1) ◽  
pp. 292-307
Author(s):  
Gerasimos G Rompotis
Keyword(s):  
Mutual Funds ◽  
Capital Markets ◽  
Mutual Fund ◽  
Economies Of Scale ◽  
Negative Relationship ◽  
Flow Reduction ◽  
Expense Ratio ◽  
Developed Markets ◽  
Equity Mutual Funds ◽  
And Performance

This paper examines the factors that affect performance, expense ratios and flows of Greek equity mutual funds during 2002-2005 and provides possible explanations for the rare phenomenon of a stagnated mutual fund market in the midst of growing capital markets in Greece and elsewhere. Results demonstrate strong economies of scale for expenses, a negative relationship between performance and expense ratio, funds flow reduction (increase) with increases in expenses (fund age and fund family), and a significant unexplained portion of funds flows. Also discovered is the inadequate competition due to large load fees and expense ratios of two to three times greater than those in other developed markets and a tradeoff between expense ratio and performance of 1.45 instead of 1 which has been observed in the literature.

scholarly journals Is the effect the same every January? Seasonality and Brazilian equity fund flows

2020 ◽  
Vol 31 (84) ◽  
pp. 409-424
Author(s):  
Janaína Cássia Grossi ◽  
Rodrigo Fernandes Malaquias
Keyword(s):  
Stock Market ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Seasonal Pattern ◽  
January Effect ◽  
Seasonal Patterns ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Mutual Fund Flows

ABSTRACT Based on the assumption that seasonal patterns have been identified in stock market assets and also in the context of equity mutual funds, the aim of this research is to investigate the relationship between the seasonality presented by the January effect and the net flow of Brazilian equity funds. The study extends the potential effects of seasonality beyond the return on stock market assets, demonstrating that seasonal patterns can also be observed in Brazilian mutual fund flows. The literature mostly points to common factors related to the performance of equity mutual funds; therefore this study investigates mutual fund flows, demonstrating that different factors influence the decisions of fund investors, including seasonal factors. The study has practical implications for fund managers, as it highlights a set of variables that can be used to anticipate variations in fund flow, reducing their effects on performance and avoiding costs. The results were estimated using panel data regression analysis. The study sample consisted of 1,010 equity funds, covering the period from January of 2004 to June of 2018. It was found that the average net inflow of Brazilian equity mutual funds is higher in January than in other months of the year, which characterizes the existence of a seasonal pattern in their net flows. However, the effect is different between exclusive and non-exclusive funds. As contributions, our findings: (i) provide a better understanding about the factors related to investor decision-making; (ii) point out new aspects in which exclusive and non-exclusive funds differ; and (iii) present factors that influence mutual fund flows.

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