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Who creates and who bears flow externalities in mutual funds?

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2
Author
Daniel Fricke Stephan Jank Hannes Wilke
Category
Financial
Date Posted
2022/09/22
Date Retrieved
2022/09/22
Date Revised
Date Written
2022/09/22
Description
Using a unique dataset on the sectoral ownership structure of euro area equity mutual funds we study how different investor groups contribute to the negative performance externality from large outflows. Investment funds as holders of mutual funds are the main contributors to the flow externality. Insurers and households in particular less financially-sophisticated ones are the main receivers. These differences are due to investment funds reacting more strongly on past performance and displaying a more procyclical investment behavior compared to households and insurers. Our results raise consumer protection and financial stability concerns due to the trading activity of short-term oriented investors.
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JEL Classifications
G10 G11 G23
Keywords
asset management; mutual funds; externalities; contagion; performance.
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0
Pages
72
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4227047
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