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Comparing performance sensitivity of retail and institutional mutual funds’ investment flows

Abstract : In this paper, we examine and compare the form of the flow-performance relationship for U.S. retail and institutional mutual funds. We provide evidence that the convex form of the flow-performance function documented by previous research characterizes mostly the relationship in the upper region of the performance scale. In contrast, the flow-performance relationship for the low-performance region appears to be concave. Furthermore, we document that the observed convexity is more pronounced for retail funds, while the concavity can be mainly attributed to institutional funds.
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https://hal.archives-ouvertes.fr/hal-02613697
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Submitted on : Wednesday, May 20, 2020 - 12:08:15 PM
Last modification on : Thursday, May 21, 2020 - 1:43:49 AM

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Mieszko Mazur, Galla Salganik-Shoshan, Maxim Zagonov. Comparing performance sensitivity of retail and institutional mutual funds’ investment flows. Finance Research Letters, Elsevier, 2017, 22, pp.66-73. ⟨10.1016/j.frl.2016.12.031⟩. ⟨hal-02613697⟩

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