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Misspecifications in the fund flow-performance relationship
- Authors
- Ha, Yeonjeong; Ko, Kwangsoo
- Issue Date
- Apr-2019
- Publisher
- Academic Press
- Keywords
- Mis-measured performance; Return discrimination; Flow-performance relationship; Inflows and outflows; Investor-substitution effect
- Citation
- Journal of Financial Intermediation, v.38, pp 69 - 81
- Pages
- 13
- Indexed
- SSCI
SCOPUS
- Journal Title
- Journal of Financial Intermediation
- Volume
- 38
- Start Page
- 69
- End Page
- 81
- ISSN
- 1042-9573
1096-0473
- Abstract
- This study shows the importance of return discrimination between funds in the flow-performance relationship. To do so, we employ objective-adjusted returns rather than performance ranks. We demonstrate that the net flow-performance relationship is a direct consequence of the convex inflow- and outflow-performance relationships, and that fund size and age have no significant effect on these relationships. When we measure past performance using 12-month objective-adjusted returns, we find a linear net flow-performance relationship after controlling for the investor-substitution effect.
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