Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; Wermers, Russ

doi:10.1017/s002210901600082x

Cited by 90 publications

(35 citation statements)

References 60 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Investors move money into relatively safe fund categories during the autumn and into riskier fund categories during the spring. Therefore, flows to fund categories are strongly dependent on the season as well as on the relative riskiness of the categories (Kamstra, Kramer, Levi, and Wermers, 2015).…”

Section: Influence Of Performance On Three Months' Flowsmentioning

confidence: 99%

The Effect of Performance on Israeli Equity Fund Flows

Arbaa¹,

Varon²,

Ben‐Zion³

2017

AFR

View full text Add to dashboard Cite

This paper examines the influence of past performance on Israeli equity mutual funds' net flows between January 2004 and July 2014, using the most recommended and reliable two-cluster regression methodology. Apparently, Israeli investors are more sensitive to risk adjusted returns than absolute returns and the most recent performance seems to be more influential on fund flows than on longer-term past performance. Moreover, investors flock to the latest winners and do not leave the funds with the poorest performance. The effect of past performance seems to be more salient on flows of advertised funds than of those with no advertisement. The results in Israel augment the scant work on mutual fund flows outside the US and add support to a growing body of literature documenting irrational investor behavior worldwide.

show abstract

Section: Influence Of Performance On Three Months' Flowsmentioning

confidence: 99%

The Effect of Performance on Israeli Equity Fund Flows

Arbaa¹,

Varon²,

Ben‐Zion³

2017

AFR

View full text Add to dashboard Cite

show abstract

“…By examining the direct measure of investor sentiment, Indro (2004) finds that fund flows are higher when individual investors become more bullish. Recently, Kamstra, Kramer, Levi, and Wermers (2010) argue that the investor's risk aversion would vary across different seasons, resulting in seasonal patterns in fund flows. Seasonal patterns in fund flows may not have a substantial influence on the empirical studies if annual fund flows are examined.…”

Section: Introductionmentioning

confidence: 99%

Seasonality In Mutual Fund Flows

Choi¹

2015

JABR

View full text Add to dashboard Cite

In this paper the author established the presence of seasonality in cash flows to U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to increased purchases, and the small net flows in December are due to increased redemptions. Thus, the turn-of-the-year period is the time that most mutual fund investors make their investment decisions.

show abstract

“…To better understand the mechanisms behind this effect, future research should investigate the causes of fluctuations in liquidity. Kamstra et al (2017), e.g., argue that mood changes may influence risk aversion during a year. While they suggest that mood changes influence stock return through fund flows, we could imagine that behavioral patterns can also explain fluctuations in liquidity.…”

Section: Impact Of Us News Announcements On Return Seasonalitymentioning

confidence: 99%

Drivers of seasonal return patterns in German stocks

Weigerding

Hanke

2018

Bus Res

View full text Add to dashboard Cite

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved effects, we investigate the effects of both variables simultaneously, together with dummies for calendar effects. US macroeconomic news announcements, which have been identified as one driver of return seasonality in previous studies using non-US data, are of little importance for our data set of German stocks.

show abstract

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Cited by 90 publications

References 60 publications

The Effect of Performance on Israeli Equity Fund Flows

The Effect of Performance on Israeli Equity Fund Flows

Seasonality In Mutual Fund Flows

Drivers of seasonal return patterns in German stocks

Contact Info

Product

Resources

About