In a dynamic structural VAR framework, we investigate how mutual fund cash flows respond to market volatilities, market returns, and fund returns, using the data of inflows and outflows obtained from Form N-SAR filings with the SEC in the EDGAR system. We find that market volatility (market return) shocks have contemporaneous negative (positive) effects on net flows. Fund return shocks have a significant effect on net flows for more than 64% of sample funds in each fund style group. Logistic regression shows the importance of diverse fund characteristics. Disposition effect of fund investors depends also on fund characteristics.
Keywords: Mutual fund cash flows, Structural VAR approach, Volatility timing, Disposition effect
JEL classification: G10, G11
자료실
자료실
[2014년 제 4차] Structural VAR approach to mutual fund cash flows:
작성자 : 관리자
조회수 : 932
게시일 :
2014-12-12