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Do Fund Flow‐Return Relations Depend on the Type of Investor? A Research Note
Author(s) -
Humphrey Jacquelyn E.,
Benson Karen L.,
Brailsford Timothy J.
Publication year - 2013
Publication title -
abacus
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.632
H-Index - 45
eISSN - 1467-6281
pISSN - 0001-3072
DOI - 10.1111/j.1467-6281.2012.00374.x
Subject(s) - closed end fund , institutional investor , income fund , sample (material) , business , open end fund , monetary economics , index fund , economics , investment (military) , investment strategy , fund of funds , financial economics , finance , corporate governance , chemistry , chromatography , politics , market liquidity , law , political science
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.