Aggregate mutual fund flows and security returns
Article Abstract:
Analysis of monthly data on the flow of money into mutual funds and financial instruments such as stocks shows that concurrent security returns are related more with unexpected flows than with expected flows. The relationship between flows and subsequent returns turned out to be positive while that between returns and subsequent flows displayed a negative character. The correlation of fund flows is strictly limited to the type of securities held by the fund, whether they be stocks, bonds or gold.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
On Computing Mean Returns and the Small Firm Premium
Article Abstract:
Estimation of returns differences for small and large firms can create problems unless care is taken in method choice. Continuity of trade and trading costs must be considered. The arithmetic of rebalanced portfolio returns method is simple, but produces unwelcome variances. The buy and hold method produces smaller variations.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1983
User Contributions:
Comment about this article or add new information about this topic:
Estimating the market risk premium
Article Abstract:
A method for estimating the market risk premium that comprises the shifts in investment opportunities by explicitly modeling the process governing the level of market volatility is presented. It is found that approximately half of the measured risk premium is related to the risk of future changes in investment opportunities.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The number of firms and production capacity in relation to market size. Quality uncertainty and price in monopoly markets
- Abstracts: Tariffs and aggregate economic activity: lessons from the Great Depression. Monetary targets as a policy rule: lessons from the Swiss experience
- Abstracts: The long-run performance of stock returns following debt offerings. Deregulation, disintermediation, and agency costs of debt: evidence from Japan
- Abstracts: Poised for resurgence. Investing in the future. A blend of sense and sensibility
- Abstracts: Restructuring, competition and regulatory reform in the U.S. electricity sector. An interim evaluation of sulfur dioxide emissions trading