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.

Research, Analysis, Mutual funds, Capital movements

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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.

Investments, Valuation

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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.

Methods, Investment analysis, Securities analysis

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