Journal of Banking & Finance Vol. 34 No. 4 2010
Mutual fund portfolio trading and investor flow
Abstract
I estimate the extent to which mutual fund portfolio trading of securities is triggered by investor flows into and out of the funds, and find that this liquidity-induced portfolio trading activity is smaller than previously estimated by Edelen (1999). I obtain estimates from a much larger and broader sample of funds than Edelen’s (1999) sample. Portfolio managers of international funds trade a smaller fraction of investor flow than do those of domestic funds. Index funds invest a larger fraction. A funds’ usage of futures contracts does not have a statistically significant effect on how it trades in response to investor flows, but the unpredictability of investor flow weakly affects the trading response to flow.
- DOI
- 10.1016/j.jbankfin.2009.09.010
- Volume
- 34
- Issue
- 4
- Pages
- 802-812
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib