Investor Attrition and Fund Flows in Mutual Funds

doi:10.1017/S0022109017000291

CORC > 上海财经大学 > 上海财经大学

	Investor Attrition and Fund Flows in Mutual Funds
	Christoffersen, Susan E. K.1,2; Xu, Haoyu 3
刊名	JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
	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.