Why Are Mutual Fund Flow and Market Returns Related? Evidence from High-frequency Data
作者： Roger M. Edelen , Jerold B. Warner
DOI: 10.2139/SSRN.155431
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摘要: We study the relation between market returns and unexpected aggregate flow into U.S. equity funds, using semi-weekly daily data. The reaction of return --whether it be one reacting to other, or both a third factor -- is fast strong. flow-return mainly concurrent, but also follows with one-day lag. lagged response indicates either common new information, positive feedback trading. Additional tests suggest that concurrent reflects driving returns.
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