Dynamic relationship between mutual fund flows and returns: Empirical evidence from EU equity funds


LEMESHKO Oleksandra

Year of publication 2017
Type Article in Proceedings
Conference 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM2017
MU Faculty or unit

Faculty of Economics and Administration

Doi http://dx.doi.org/10.5593/SGEMSOCIAL2017/HB11/S03.074
Field Management and administrative
Keywords managed equity fund flows; managed equity fund excess returns; Granger-causality; EU
Description The paper aims to investigate the existence of a positive feedback process between managed aggregate equity fund flows and equity fund excess returns in short-term and long-term period using monthly data from high- and middle-income EU economies for the time span from January 2000 to December 2016 and to perform subsequently international comparison of the obtained results with existing evidence from other regions or groups of advanced and emerging economies of the world.
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