[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/jfinin/v38y2019icp69-81.html
   My bibliography  Save this article

Misspecifications in the fund flow-performance relationship

Author

Listed:
  • Ha, Yeonjeong
  • Ko, Kwangsoo
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.

Suggested Citation

  • Ha, Yeonjeong & Ko, Kwangsoo, 2019. "Misspecifications in the fund flow-performance relationship," Journal of Financial Intermediation, Elsevier, vol. 38(C), pages 69-81.
    • Handle: RePEc:eee:jfinin:v:38:y:2019:i:c:p:69-81
    DOI: 10.1016/j.jfi.2018.11.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042957319300105
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jfi.2018.11.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ha, Yeonjeong & Oh, Haejune, 2024. "Choice for smart investment in mutual funds: Single- or multi-period performance ranks," Finance Research Letters, Elsevier, vol. 59(C).
    2. Chen, Hong-Yi & Chen, Hsuan-Chi & Lai, Christine W., 2021. "Internet search, fund flows, and fund performance," Journal of Banking & Finance, Elsevier, vol. 129(C).
    3. Alper Gormus & Saban Nazlioglu & Elif Gormus, 2024. "ESG impact on oil and natural gas financialization through price transmission," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(3), pages 685-707, September.
    4. Rakowski, David & Yamani, Ehab, 2021. "Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 247-271.
    5. Yaping Xiao & Haishu Qiao & Ting Xie, 2019. "Open-End Funds for Sustainable Economic Growth in China: The Relationship between Load Fees, Performance, and Flows," Sustainability, MDPI, vol. 11(22), pages 1-27, November.
    6. Klinkowska, Olga & Zhao, Yuan, 2023. "Fund flows and performance: New evidence from retail and institutional SRI mutual funds," International Review of Financial Analysis, Elsevier, vol. 87(C).

    More about this item

    Keywords

    Mis-measured performance; Return discrimination; Flow-performance relationship; Inflows and outflows; Investor-substitution effect;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinin:v:38:y:2019:i:c:p:69-81. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622875 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.