Mutual Fund Flows and Security Returns

Posted: 7 Sep 1999

Date Written: May 1994

Abstract

This paper finds that aggregate security returns are strongly related to concurrent unexpected cash flows into mutual funds and unrelated to concurrent expected flows into mutual funds. The author finds no lags between mutual fund flows and security returns in either direction in weekly or monthly data. Further, fund flows are correlated with the returns of the securities held by the funds but not with the returns of other securities.

JEL Classification: G21

Suggested Citation

Warther, Vincent August, Mutual Fund Flows and Security Returns (May 1994 ). Available at SSRN: https://ssrn.com/abstract=5453

Vincent August Warther (Contact Author)

Compass Lexecon ( email )

332 South Michigan Avenue
Suite 1300
Chicago, IL 60604
United States

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