Investor Attrition and Fund Flows in Mutual Funds | |
Christoffersen, Susan E. K.1,2; Xu, Haoyu3 | |
刊名 | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
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2017-06 | |
卷号 | 52期号:3页码:867-893 |
ISSN号 | 0022-1090 |
DOI | 10.1017/S0022109017000291 |
英文摘要 | We explore the properties of equity mutual funds that experience a loss of assets after poor performance. We document that both inflows and outflows are less sensitive to performance, because performance-sensitive investors leave or decide not to invest after bad performance. Consistent with the idea that attrition measures the sorting of performance-sensitive investors, we find that attrition has less of an impact on the fund's flow-performance sensitivity for institutional funds where there is less dispersion in investor performance sensitivity. Also, attrition has no effect on the flow-performance sensitivity when attrition arises after good performance or investors invest for non-performance reasons. |
WOS研究方向 | Business & Economics |
语种 | 英语 |
出版者 | CAMBRIDGE UNIV PRESS |
WOS记录号 | WOS:000403647700002 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/965] ![]() |
专题 | 上海财经大学 |
通讯作者 | Christoffersen, Susan E. K. |
作者单位 | 1.Univ Toronto, Rotman Sch Management, Toronto, ON, Canada; 2.Copenhagen Business Sch, Copenhagen, Denmark; 3.Shanghai Univ Finance & Econ, Shanghai, Peoples R China |
推荐引用方式 GB/T 7714 | Christoffersen, Susan E. K.,Xu, Haoyu. Investor Attrition and Fund Flows in Mutual Funds[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,2017,52(3):867-893. |
APA | Christoffersen, Susan E. K.,&Xu, Haoyu.(2017).Investor Attrition and Fund Flows in Mutual Funds.JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,52(3),867-893. |
MLA | Christoffersen, Susan E. K.,et al."Investor Attrition and Fund Flows in Mutual Funds".JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 52.3(2017):867-893. |
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