Equity mutual fund has been an important force in China stock market. The purpose of this paper is to study the inflows and outflows of open-end equity mutual funds separately from a fund investor behavioral perspective. In this paper, some potential determinants of fund flows, including performance, fund size, fund age, average holding per account and quarter dividend, are investigated.
I find that, fund performance, size, age, average holding per account and dividend all have impact on fund flows. The relationships may vary under different market condition and for small or large funds. Fund inflows are more sensitive to longer term return than shorter term return, while outflow and net inflow are the opposite; inflows during the bear period are more sensitive to fund returns than that during bull market. Outflow is negatively correlated with fund size, while net inflow is positively correlated. During bull period, net inflow is more sensitive to fund size for small funds than for large funds. There’s positive relation between fund age and inflow and net inflow, while negative relation between age and outflow. Average holding per account has positive relation with inflow, and negative relation with outflow. In bull market, the impact of quarter dividend is not significant. But in bear market, inflow is more sensitive to dividends than in bull market.
Equity mutual fund has been an important force in China stock market. The purpose of this paper is to study the inflows and outflows of open-end equity mutual funds separately from a fund investor behavioral perspective. In this paper, some potential determinants of fund flows, including performance, fund size, fund age, average holding per account and quarter dividend, are investigated.
I find that, fund performance, size, age, average holding per account and dividend all have impact on fund flows. The relationships may vary under different market condition and for small or large funds. Fund inflows are more sensitive to longer term return than shorter term return, while outflow and net inflow are the opposite; inflows during the bear period are more sensitive to fund returns than that during bull market. Outflow is negatively correlated with fund size, while net inflow is positively correlated. During bull period, net inflow is more sensitive to fund size for small funds than for large funds. There’s positive relation between fund age and inflow and net inflow, while negative relation between age and outflow. Average holding per account has positive relation with inflow, and negative relation with outflow. In bull market, the impact of quarter dividend is not significant. But in bear market, inflow is more sensitive to dividends than in bull market.
