Journal of Financial Intermediation Vol. 38 2019
Misspecifications in the fund flow-performance relationship
Abstract
This study shows the importance of return discrimination between funds in the flow-performance relationship. To do so, we employ objective-adjusted returns rather than performance ranks. We demonstrate that the net flow-performance relationship is a direct consequence of the convex inflow- and outflow-performance relationships, and that fund size and age have no significant effect on these relationships. When we measure past performance using 12-month objective-adjusted returns, we find a linear net flow-performance relationship after controlling for the investor-substitution effect.
- DOI
- 10.1016/j.jfi.2018.11.001
- Volume
- 38
- Pages
- 69-81
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref