Market-share Changes and Net Flows of Equity Mutual Funds in the U.S.: Quantile Analysis

(Pages 153-168)

Miyoun Paek1 and Kwangsoo Ko2,*
1Finance at Georgetown College and adjunct professor at the University of Cincinnati.
2Department of Business Administration, College of Business, Pusan National University, 2, Busandaehak-ro 63beon-gil, Geumjeong-gu, Busan 46241.
DOI: https://doi.org/10.35341/1923-7529.2021.19.15

Abstract:

This study compares market-share changes with net flows to revisit the fund flow-performance relationship in the sense of the heteroscedasticity of fund flows. Decomposing market-share change (net flow) into inflow and outflow shares and other parts (inflow and outflow) using equity fund data obtained from the EDGAR system and CRSP mutual fund data basis employed to explain fund investor behavior. Market-share changes have a convex relationship with past performance, but net flows do not. Quantile regressions show somewhat different behavior between market-share changes and net flows. A characteristic analysis shows that relatively large (small) funds in the high (low) performance domain play an important role in the convex relationship between market-share changes and past performance.


Keywords:

Market-share changes, Net flows, Convexity, Agency problem, Quantile analysis.


JEL:

G10, G11.


How to Cite:

Miyoun Paek and Kwangsoo Ko. Market-share Changes and Net Flows of Equity Mutual Funds in the U.S.: Quantile Analysis. [ref]: vol.19.2021. available at: https://refpress.org/ref-vol19-a15/


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