Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note. (21st November 2012)

• Record Type: Journal Article
• Authors: Humphrey, Jacquelyn E.; Benson, Karen L.; Brailsford, Timothy J.
• Is Part Of: Abacus. Volume 49:Number 1(2013:Mar.)
• Page Start: 34
• Page End: 45
• Publication Date: 2012-11-21
• Subjects: Aggregate fund flow -- Fund flow -- Funds; Accounting -- Periodicals; Finance -- Periodicals; 657.05
• DOI: 10.1111/j.1467-6281.2012.00374.x
• Languages: English
• ISSNs: 0001-3072

Abstract

Abstract : 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.