Do Chinese mutual fund investors chase returns?
On a comprehensive sample of Chinese open-end equity mutual funds from 2005 to 2009, we investigate the non-linear relationship between a fund’s flow and its past performance. We first observe a positive relationship between a fund’s quarterly flow and its prior 12-month return. Next, we find a non-...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/48329 |
| _version_ | 1826123985879826432 |
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| author | Du, Chen Jin, Zheng Teo, Ting Rui |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Du, Chen Jin, Zheng Teo, Ting Rui |
| author_sort | Du, Chen |
| collection | NTU |
| description | On a comprehensive sample of Chinese open-end equity mutual funds from 2005 to 2009, we investigate the non-linear relationship between a fund’s flow and its past performance. We first observe a positive relationship between a fund’s quarterly flow and its prior 12-month return. Next, we find a non-linear relationship between fund flow and past performance using a piecewise regression method. Our result shows that Chinese investor flows are more sensitive to high past fund performance and less sensitive to medium range fund performance. Fund flows do not display statistically significant sensitivity to poor fund performance. After using alternative regression specifications, we confirm the statistical significance of a non-linear flow-performance relationship. In addition, we find that investors’ response to high past performance persists for the first and the second quarter. Lastly, we find that Chinese investors are not sophisticated enough to respond to risk-adjusted performance measures. |
| first_indexed | 2024-10-01T06:13:16Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/48329 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:13:16Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | ntu-10356/483292023-05-19T06:24:05Z Do Chinese mutual fund investors chase returns? Du, Chen Jin, Zheng Teo, Ting Rui Nanyang Business School Zhang Hanjiang DRNTU::Business::Finance::Funds On a comprehensive sample of Chinese open-end equity mutual funds from 2005 to 2009, we investigate the non-linear relationship between a fund’s flow and its past performance. We first observe a positive relationship between a fund’s quarterly flow and its prior 12-month return. Next, we find a non-linear relationship between fund flow and past performance using a piecewise regression method. Our result shows that Chinese investor flows are more sensitive to high past fund performance and less sensitive to medium range fund performance. Fund flows do not display statistically significant sensitivity to poor fund performance. After using alternative regression specifications, we confirm the statistical significance of a non-linear flow-performance relationship. In addition, we find that investors’ response to high past performance persists for the first and the second quarter. Lastly, we find that Chinese investors are not sophisticated enough to respond to risk-adjusted performance measures. BUSINESS 2012-04-05T01:46:25Z 2012-04-05T01:46:25Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/48329 en Nanyang Technological University 46 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Funds Du, Chen Jin, Zheng Teo, Ting Rui Do Chinese mutual fund investors chase returns? |
| title | Do Chinese mutual fund investors chase returns? |
| title_full | Do Chinese mutual fund investors chase returns? |
| title_fullStr | Do Chinese mutual fund investors chase returns? |
| title_full_unstemmed | Do Chinese mutual fund investors chase returns? |
| title_short | Do Chinese mutual fund investors chase returns? |
| title_sort | do chinese mutual fund investors chase returns |
| topic | DRNTU::Business::Finance::Funds |
| url | http://hdl.handle.net/10356/48329 |
| work_keys_str_mv | AT duchen dochinesemutualfundinvestorschasereturns AT jinzheng dochinesemutualfundinvestorschasereturns AT teotingrui dochinesemutualfundinvestorschasereturns |