Journal
JOURNAL OF BANKING & FINANCE
Volume 36, Issue 6, Pages 1759-1780Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2012.01.019
Keywords
Mutual funds; Flow-performance relationship; Mutual fund flows; Convexity
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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 US 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. (C) 2012 Elsevier B.V. All rights reserved.
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