Đang chuẩn bị liên kết để tải về tài liệu:
Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Poverty reduction has two fundamental requirements: enabling the poor and marginal groups to participate in decisionmaking about their own development, and giving them access to capital, technology, credit, and land, especially in the case of the rural poor. Programs to deliver these basics must be designed with accuracy and sophistication within a frame- work of macroeconomic social policies whose main objective is poverty reduction. Social gains made through specific programs will be unsus- tainable in the absence of reform at the state level and the democratic participation of the people | Seasonal Asset Allocation Evidence from Mutual Fund Flows Mark J. Kamstra Lisa A. Kramer Maurice D. Levi and Russ Wermers July 2012 Abstract 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 overhang and year-end influences on fund flows. We find strong correlation between U.S. mutual fund net flows and within-fund-family exchanges and a proxy for variation in investor risk aversion across the seasons. We find similar seasonal evidence in Canadian fund flows as well as in fund flows from Australia where the seasons are six months out of phase relative to Canada and the U.S. While prior evidence regarding the influence of seasonally changing risk aversion on financial markets relies on seasonal patterns in asset returns we provide the first direct trade-related evidence. JEL Classification G11 Keywords time-varying risk aversion sentiment mutual fund flow seasonality net exchanges net flows risk tolerance risk aversion Wermers Corresponding Author Smith School of Business University of Maryland College Park Maryland 20850. Tel 301 405-0572 Fax 301 405-0359 Email rwermers@rhsmith.umd.edu. Kamstra Schulich School of Business York University. Kramer Rotman School of Management University of Toronto. Levi Sauder School of Business University of British Columbia. We have benefited from valuable conversations with Devraj Basu discussant Hank Bessembinder Michael Brennan Raymond da Silva Rosa discussant Kent Daniel Ramon DeGennaro Roger Edelen Zekeriya Eser Henry Fenig Mark Fisher Kenneth Froot Rob Heinkel Woodrow Johnson Alan Kraus David Laibson Josef Lakonishok Vasant Naik Sergei Polevikov Jacob Sagi Rudi Schadt Neal Stoughton Rodney .