1. Metodología avanzada en
valoración financiera (61416)
What determines investors’ purchases
investors
and redemptions?
Profesores:
José Luis Sarto jlsarto@unizar.es
Laura Andreu landreu@unizar.es
Blog:
Bl
http://asignaturajls13-14.blogspot.com/
htt // i
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2. Motivation
The increasing importance of research on fund flow
determinants: with our d t we can separate b i and
d t
i t
ith
data,
t buying d
selling behaviour
The analysis of the asymmetrical responses of investors,
especially with respect t past performance
i ll ith
t to
t
f
The possible effect of fund characteristics such as fees,
size and risk
3. Data
Domestic equity funds (CNMV)
Return data
Number of investors and TNA
Inflows and outflows (money and investors)
Management fees
Monthly data from June 1999-December 2006
Database free of survivorship bias
4. Methodology (I)
FLOW MEASURES
Exact inflows and outflows
Implied flows (to compare)
IPMFi ,t j
IPIFi ,t j
TNAi ,t j TNAi ,t (1 Ri ,t j ) MGTNAi ,t j
TNAi ,t
I i ,t j I i ,t MGI i ,t j
I i ,t
5. Methodology (II)
DETERMINANT - FLOW RELATIONSHIP (I)
I di id l ti
Individual time-series regressions ( t
i
i
(return & risk)
i k)
Flowi ,t j Ri ,t h i ,t j
Flowi ,t j Risk i ,t h i ,t j
Past information (h): 3, 12 and 24 month
f
Reaction period (j):
1, 2 and 3 months
6. Methodology (III)
DETERMINANT - FLOW RELATIONSHIP (II)
Pool regressions
(including the other variables)
Flowi ,t j f ( Ri ,t h , Riski ,t h , Feesi ,t h ,
TOTFlowt j , LogTNAi ,t h )
7. Results (I)
Return-flow relationship
Investment flows are strongly related to past
return
This influence is higher considering exact
flows
This relation is clearer for investor flows
8. Results (I)
Return-flow relationship
Investment flows are strongly related to past return
l
l
l d
This influence is higher considering exact flows
This relation is clearer for investor flows
Table 2 Panel B: 12-month ret rn
2.
12 month return
+ (%)
Flow1
Flow2
Flow3
sign + (%)
PIF (I)
58
16
(63%)
(17%)
53
17
(58%)
(19%)
48
16
(52%)
(18%)
R2
5.3%
6.3%
7.0%
+ (%)
sign + (%)
PIF (In)
82
58
(89%)
(63%)
79
58
(87%)
(64%)
78
57
(86%)
(63%)
R2
18.9%
21.3%
22.1%
+ (%)
sign + (%)
PIF (Out)
82
51
(89%)
(55%)
81
51
(89%)
(56%)
80
51
(88%)
(56%)
R2
13.7%
17.6%
20.1%
9. Results (II)
Risk-flow relationship
Risk has a negative effect on exact inflows
This relation is clearer for investor flows
Again, exact flows provide better results
10. Results (II)
Risk-flow relationship
Risk h a negative effect on exact i l
i k has
i
inflows
This relation is clearer for investor flows
Again, exact flows provide better results
Table 3 Panel A: 3 month risk
3.
3-month
‐ (%)
Flow1
Flow2
Flow3
sign ‐ (%)
PIF (I)
50
15
(46%)
(14%)
45
14
(44%)
(13%)
44
14
(42%)
(13%)
R2
5.5%
7.4%
7.6%
‐ (%)
sign ‐ (%)
PIF (In)
91
58
(83%)
(53%)
90
60
(83%)
(55%)
86
57
(81%)
(54%)
R2
9.1%
9.7%
13.3%
‐ (%)
sign ‐ (%)
PIF (Out)
91
57
(83%)
(52%)
93
56
(85%)
(51%)
92
55
(87%)
(52%)
R2
9.1%
13.7%
16.1%
11. Results (III)
(
)
Pool regressions
A total of 162 pool regressions
Clearer findings when we analyse exact inflows
Management and custodial fees have a negative
effect on investment flows
Size is also inversely related to investment flows
12. Concluding remarks (I)
Global evidence of the influence of past returns
on subsequent investment flows
This finding is more evident when we examine
inflows
Investor flows are more sensitive than money
flows
Investors seem to take their decisions
considering short-term past information
13. Concluding remarks (II)
Risk is also revealed as a decisive factor to
explain purchases
Managements and custodial fees
negative effect on investment flows
have
a
Size is also inversely related to investment flows
14. Metodología avanzada en
valoración financiera (61416)
What determines investors’ purchases
investors
and redemptions?
Profesores:
José Luis Sarto jlsarto@unizar.es
Laura Andreu landreu@unizar.es
Blog:
Bl
http://asignaturajls13-14.blogspot.com/
htt // i
t
jl 13 14 bl
t
/
