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Alberto Cagnazzo (LUISS)

19 October 2016 at 12:00 PM - 1:30 PM

Room 404a, Campus on Viale Romania, 32

Speaker: Alberto Cagnazzo, LUISS
  • Speaker:   Alberto Cagnazzo (LUISS)

  • TitleDo mutual funds chase stock market returns? Evidence on determinants of Emerging Market flows

  • Abstract:  In this paper we show That investors in emerging markets (EMs) look at past returns and past at macroeconomic variables in order to define aggregated investment flows into mutual funds. Using a unique aggregate of mutual fund net flows, available at high frequency and with a wide coverage of funds, we verify if investors look at past returns in order to define Their short-term investment flows. We Find That past performance is a positive significant determinant of mutual fund flows and inflows negatively react immediately after a period of higher short-term interest rates in developed economies. Also our analysis controls for US economic sentiment and for global risk aversion. Evaluating The Likely response of net flows to past performance we Find That EM flows reserved reserved respond to a one-standard deviation shock to performance with an average inflow of around 300 million US $ and this response lasts for 6 months.