The Flow-Performance Relationship Around the World

Abstract

We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that U.S. findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry. Higher country-level convexity is positively associated with higher levels of risk taking by fund managers. JEL Classification: G15; G23

Real Effects of Stock Underpricing

“…The corresponding figure (73%) is somewhat smaller for US domiciled funds. See also Ferreira, Keswani, Miguel, and Ramos (2012).…”

Capital markets in Central and Eastern Europe: two selected cases

“…This is related to investors' decision to select and invest in funds on the one hand and to exit funds on the other hand, and the corresponding evolutions of flows in different categories of funds. There is a large body of literature that focuses only on equity funds (Ippolito, 1992;Gruber, 1996;Ferreira, Keswani, Miguel and Ramos, 2012;Kim, 2013) and most of it refers to US market (Navone, Pagani and Pantos, 2012;Li Ma, 2013, Kim, 2013. There are less studies referring to bond funds (Chen and Qin, 2015;Zhao, 2005) and most of them consider the US market as well.…”

“…There are also a few studies in other developed markets than US (Ferreira, Keswani, Miguel and Ramos, 2012), but studies focusing mainly on emerging markets are very few. The Brazilian mutual market was studied by Varga and Wengert (2010) and Varga (2011), while Ferreira, Keswani, Miguel and Ramos (2012) studied 28 countries among which some were emerging capital markets (India, Indonesia, Malaysia, Poland, Taiwan, Thailand).…”

O efeito de smart money nos fundos de investimento: o caso português

“…A importância do estudo do smart money em mercados diferentes é reforçada pelo fato de se saber que as conclusões obtidas em estudos sobre o tema para os EUA e o Reino Unido não são diretamente extrapoláveis para mercados com contextos institucionais e culturais diferentes. De fato, conforme mostram Ferreira et al (2012), num estudo recente aos mercados de fundos de 28 países, a relação entre os fl uxos de entrada e saída nos fundos e o seu desempenho varia de forma substancial de país para país, respondendo provavelmente a fatores locais, como a sofi sticação dos investidores e os seus custos de participação.…”