The Price Pressure of Aggregate Mutual Fund Flows

被引：77

作者：

Ben-Rephael, Azi ^{[1
]}

Kandel, Shmuel ^{[1
,2
]}

Wohl, Avi ^{[1
]}

机构：

[1] Tel Aviv Univ, Fac Management, IL-69978 Tel Aviv, Israel

[2] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2011年 / 46卷 / 02期

基金：

以色列科学基金会;

关键词：

STOCK; PERFORMANCE; ILLIQUIDITY; RETURNS; COSTS;

D O I：

10.1017/S0022109010000797

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a unique database of aggregate daily flows to equity mutual funds in Israel, we find strong support for the "temporary price pressure hypothesis" regarding mutual fund flows: Mutual fund flows create temporary price pressure that is subsequently corrected. We find that flows are positively autocorrelated, and are correlated with market returns (R-2 of 20%). Our main finding is that approximately one-half of the price change is reversed within 10 trading days. This support for the "temporary price pressure hypothesis" complements microstructure research concerning price impact and price noise in stocks by indicating price noise at the aggregate market level.

引用

页码：585 / 603

页数：19

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