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