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Determinants of mutual fund flows
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management, Building and Real Estate Economics.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management, Building and Real Estate Economics.ORCID iD: 0000-0003-4849-0726
KTH, School of Architecture and the Built Environment (ABE), Centres, Centre for Banking and Finance, Cefin.ORCID iD: 0000-0002-9944-0510
2015 (English)In: Managerial Finance, ISSN 0307-4358, E-ISSN 1758-7743, Vol. 41, no 1, 10-25 p.Article in journal (Refereed) Published
Abstract [en]

Purpose – The purpose of this paper is to study the determinants of aggregate fund flows to bothequity and hybrid mutual funds. The authors test three hypotheses that help explaining therelationship between mutual fund flows and stock market returns, namely; the feedback-traderhypothesis, the price-pressure hypothesis, and the information-response hypothesis.Design/methodology/approach – The study relies on Swedish quarterly data on mutual fund flowsover the period 1998-2013. The methodology is twofold; through the structural models (AR(1)) theauthors can say something regarding the relationship between mutual fund flows and financial macrovariables. The analysis is further strengthened by utilizing a vector autoregressive model to test forGranger causality in order to determine the order of events.Findings – Similar to both Warther (1995) and Jank (2012), the authors only find support for theinformation-response hypothesis. Additionally, the authors find new financial variables that havepredictive power in determiningmutual fund flows, namely; market fear (VIX), exchange rate, households’expectation regarding inflation as well as outflows from mutual bond funds.Originality/value – The study contributes to the body of literature in three ways. First, itcomplements recent findings on determinants of mutual fund flows but the authors also add to theknowledge by included new macro financial variables describing the real economy. Second, the authorsinclude a few additional variables. Third, the vast majority of previous studies have used US data, theauthors add to that a deeper understanding of determinants of mutual fund flows in smaller economiesby using Swedish data.

Place, publisher, year, edition, pages
2015. Vol. 41, no 1, 10-25 p.
National Category
Economics
Identifiers
URN: urn:nbn:se:kth:diva-163396DOI: 10.1108/MF-06-2013-0161Scopus ID: 2-s2.0-84996494481OAI: oai:DiVA.org:kth-163396DiVA: diva2:799948
Note

QC 20150407

Available from: 2015-04-01 Created: 2015-04-01 Last updated: 2017-12-04Bibliographically approved

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