Earticle

초록

영어

In a dynamic framework, our structural VAR approach shows determinants of mutual fund cash flows using the data of inflows and outflows obtained from Form N-SAR filings with the SEC in the EDGAR system. This approach allows us to understand how cash flows respond simultaneously to market volatilities, market returns, and fund returns. Empirical findings are as follows: First, market volatility (market return) shocks may have contemporaneous negative (positive) effects on net flows. We explain this result by the contemporaneous positive effect of market volatility (market return) shocks on outflows (inflows). Noteworthy is that outflows (inflows) are not affected by market return (market volatility) shocks. Second, fund return shocks have a statistically significant effect on net flows for more than 64% of sample funds in each fund style group, but this effect is somewhat mixed in terms of the sign or direction. Third, the logistic regression provides a partial explanation for the mixed effects of fund return shocks on cash flows. That is, such mixed effects may derive from diverse fund characteristics. The portfolio analysis provides similar conclusions. Finally, we find indirect evidence of the disposition effect for both growth funds and mid- and small-cap funds. Fund characteristics have important implications for the disposition effect.

목차

Abstract
 1. Introduction
 2. Data and variables
  2.1 Data
  2.2 Endogenous variables
 3. Modeling a structural VAR model for cash flows
  3.1 A structural VAR model
  3.2 Identification and tests of statistical significance
 4. Estimation of structural VARs
  4.1 Estimation and concurrent relationships
  4.2 Impulse response analysis and variance decomposition
 5. Empirical evidence on cash flows
  5.1 Hypothesis tests for net flows
  5.2 Inflow and outflow analysis
  5.3 Logistic regression analysis for fund return shocks
  5.4 Analysis of style and characteristic portfolios
 6. Conclusions
 References
 Table
 Figure

저자

• Bong Soo Lee [ Florida State University ]
• Yeonjeong Ha [ Pusan National University ]
• Miyoun Paek [ Pusan National University ]
• Kwangsoo Ko [ Pusan National University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330