The flow-performance relationship around the world

Miguel A. Ferreira, Aneel Keswani, Antonio F. Miguel, Sofia B. Ramos

Research output: Contribution to journalArticle

60 Citations (Scopus)

Abstract

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry. Higher country-level convexity is positively associated with higher levels of risk taking by fund managers.

Original languageEnglish
Pages (from-to)1759-1780
Number of pages22
JournalJournal of Banking and Finance
Volume36
Issue number6
DOIs
Publication statusPublished - 1 Jun 2012

Fingerprint

Investors
Mutual funds
Developed countries
Convexity
Industry
Mutual fund flows
Costs
Fund managers
Risk taking

Keywords

  • Convexity
  • Flow-performance relationship
  • Mutual fund flows
  • Mutual funds

Cite this

Ferreira, Miguel A. ; Keswani, Aneel ; Miguel, Antonio F. ; Ramos, Sofia B. / The flow-performance relationship around the world. In: Journal of Banking and Finance. 2012 ; Vol. 36, No. 6. pp. 1759-1780.
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The flow-performance relationship around the world. / Ferreira, Miguel A.; Keswani, Aneel; Miguel, Antonio F.; Ramos, Sofia B.

In: Journal of Banking and Finance, Vol. 36, No. 6, 01.06.2012, p. 1759-1780.

Research output: Contribution to journalArticle

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