What Drives Mutual Fund Asset Concentration?

Asset allocation decisions of mutual fund investors

I extend the Warther (1995) evidence to show that stock market returns are related to contemporaneous flows into mutual funds that invest in risky stocks and bonds, but are unrelated to flows into funds that invest in safer stocks and bonds. I examine whether common sources of predictability in returns and flows can explain this contemporaneous relation. I find that variables with predictive ab...

What determines mutual fund size?

The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players can be quantitatively discussed in terms of the tail behavior of the mutual fund size distribution. We study the distribution empirically and show that the tail is better...

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

This paper explores U.S. mutual fund flows, finding strong evidence of seasonal reallocation across funds based on fund exposure to risk. We show that substantial money moves from U.S. equity to U.S. money market and government bond mutual funds in the fall, then back to equity funds in the spring, controlling for the influence of past performance, advertising, liquidity needs, capital gains ov...

What Style - Timing Skills do Mutual Fund “ Stars ” Possess ? *

Recent studies suggest that certain mutual fund managers manifest genuine skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of 3,181 growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an important contributor to the persistent abnormal returns observed is growth timing, i.e., switching stocks alon...

The MUTUAL FUND INDUSTRY