Determinants of money flows into investment trusts in Japan

Sovereign CDS and mutual funds: Global evidence

“…Fund flow represents the net money flow which is the difference of the size between the beginning and the end of a month which is extracted from Lipper for Investment Management Database. The estimation of flow is consistent with the existing literature (see for example: (Frazzini and Lamont, 2008;Shinozawa and Vivian, 2015)). where 𝐹𝑢𝑛𝑑 𝑓𝑙𝑜𝑤 𝑖,𝑡 % is the percentage change on a fund from the beginning to the end of the month t; 𝑓 is the fund size; 𝑃 𝑡−1,𝑡 is the fund performance from the beginning to the end of the month t (period performance includes both capital gain and income distributions reinvested).…”

“…Finally, in Table 9, we control for past equity returns for each country in the sample. This is important because prior work documents that there is a negative relationship between CDS and equity market (see for example : Merton, 1974;Vassalou and Xing, 2004)), which could plausibly drive the predictive relationship between sovereign CDS and fund flow given that equity returns often lead fund flow (Shinozawa and Vivian, 2015). As shown in Table 9, we do find a positive relationship between lagged equity index return and fund flow which is statistically significant at the 10% level.…”

“…Thereafter, numerous studies provide a strong evidence suggesting that investors chase past performance (see for example: (Guercio & Reuter, 2014;Shinozawa & Vivian, 2015)). Filis et al (2011) suggest that investors are motivated by past fund return when they allocate their asset.…”

“…Mutual funds flow has become a prominent subject of investigation in the finance literature. There is a large body of work that investigates the determinants of fund flow (see for example: (Barber et al, 2016;Guercio and Reuter, 2014;Jank, 2012;Shinozawa and Vivian, 2015)). For instance, it is well established in the literature that previous fund return is a key driver of fund flow.…”

Does family size matter to investors? Evidence from mutual fund flow in Saudi Arabia

“…We estimate the mutual fund flow by following the existing literature (Frazzini and Lamont, 2008; Shinozawa and Vivian, 2015; Alsubaiei at al. , 2020).…”