| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11476 |
| DP11476 Investor-Stock Decoupling in Mutual Funds | |
| Massimo Massa; Miguel Ferreira; Pedro Pinto Matos | |
| 发表日期 | 2016-08-29 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We investigate whether mutual funds whose investors and stocks are decoupled (i.e., investor location does not coincide with that of the stock holdings) benefit from a natural hedge as they have fewer outflows during market downturns and fewer inflows during upturns. Using a sample of equity mutual funds from 26 countries, we find that funds with higher investor-stock decoupling exhibit higher performance and this is more pronounced during the 2007-2008 financial crisis. We also find that decoupling allows fund managers to take less risk, be more active, and tilt their portfolios toward smaller and less liquid stocks. |
| 主题 | Financial Economics |
| 关键词 | Mutual funds Performance Fund flows Risk taking Limits to arbitrage |
| URL | https://cepr.org/publications/dp11476 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540290 |
| 推荐引用方式 GB/T 7714 | Massimo Massa,Miguel Ferreira,Pedro Pinto Matos. DP11476 Investor-Stock Decoupling in Mutual Funds. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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