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The Determinants of U.S. Equity Index Funds Flows


The Determinants of U.S. Equity Index Funds Flows

Guo, Rui (2011) The Determinants of U.S. Equity Index Funds Flows. Masters thesis, Concordia University.

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Existing studies on fund flows focus on actively managed funds and S&P 500 index funds. This thesis examines the determinants of funds flow for a sample of 211 U.S. index funds representing eight different underlying indexes over a period of approximately 16 years. We find that performance in general has a positive effect on fund flows. Fund fees (including expense ratios and front-end loads) are negatively related with fund flows. The association between fund flows and tracking error depends upon time period with a positive relation over the most recent subperiod and a negative relation over the earlier subperiod. We find that institutional and retail investors have different funds-flow responses to performance, tracking errors and fund fees. While some determinants affect the sensitivity of flows to performance ranges, these influences are not robust since they do not persist for all types of performance measures.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Guo, Rui
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:16 September 2011
Thesis Supervisor(s):Kryzanowski, Lawrence
ID Code:35915
Deposited By: RUI GUO
Deposited On:21 Nov 2011 19:32
Last Modified:21 Nov 2011 19:32
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