earticle

영어

In a dynamic framework, our structural VAR approach shows determinants of mutual fund cash flows using the data of inflows and outflows obtained from Form N-SAR filings with the SEC in the EDGAR system. This approach allows us to understand how cash flows respond simultaneously to market volatilities, market returns, and fund returns. Empirical findings are as follows: First, market volatility (market return) shocks may have contemporaneous negative (positive) effects on net flows. We explain this result by the contemporaneous positive effect of market volatility (market return) shocks on outflows (inflows). Noteworthy is that outflows (inflows) are not affected by market return (market volatility) shocks. Second, fund return shocks have a statistically significant effect on net flows for more than 64% of sample funds in each fund style group, but this effect is somewhat mixed in terms of the sign or direction. Third, the logistic regression provides a partial explanation for the mixed effects of fund return shocks on cash flows. That is, such mixed effects may derive from diverse fund characteristics. The portfolio analysis provides similar conclusions. Finally, we find indirect evidence of the disposition effect for both growth funds and mid- and small-cap funds. Fund characteristics have important implications for the disposition effect.