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초록
영어
In this paper I establish the presence of seasonality in the cash flows to the U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to the increased purchases, and the small net flows in December are due to the increased redemptions. Thus, the turn-of-the-year period is the time that most mutual fund investors make their investment decisions. I offer the possible sources for the seasonality in mutual funds flows.
목차
Abstract
1. Introduction
2. Cash flows to mutual funds
2.1. Data
2.2. Net flows, inflows, and outflows
3. Seasonal patterns in cash flows to mutual funds
3.1 The effect of distribution on the negative net flows in December
3.2 Seasonality tests in cash flows to mutual funds
4. The turn-of-the-year effect and the turn-of-the-quarter effect in mutual fund flows
5. What causes the seasonal patterns in mutual fund flows?
5.1 Personal income and consumption
5.2 Tax treatment of the distributions
5.3 Style objectives of funds
5.4 Past performance of funds
5.5 Relative performance among style funds
6. Concluding Remarks
References
Table
Figure
1. Introduction
2. Cash flows to mutual funds
2.1. Data
2.2. Net flows, inflows, and outflows
3. Seasonal patterns in cash flows to mutual funds
3.1 The effect of distribution on the negative net flows in December
3.2 Seasonality tests in cash flows to mutual funds
4. The turn-of-the-year effect and the turn-of-the-quarter effect in mutual fund flows
5. What causes the seasonal patterns in mutual fund flows?
5.1 Personal income and consumption
5.2 Tax treatment of the distributions
5.3 Style objectives of funds
5.4 Past performance of funds
5.5 Relative performance among style funds
6. Concluding Remarks
References
Table
Figure
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