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Mutual Fund Attributes and Investor Behavior

Published online by Cambridge University Press:  06 April 2009

Nicolas P. B. Bollen
Nicolas P. B. Bollen
Affiliation:
nick.bollen@owen.vanderbilt.edu, Vanderbilt University, Owen Graduate School of Management, 401 21st Avenue South, Nashville, TN 37240.
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Abstract

I study the dynamics of investor cash flows in socially responsible mutual funds. Consistent with anecdotal evidence of loyalty, the monthly volatility of investor cash flows is lower in socially responsible funds than in conventional funds. I find strong evidence that cash flows into socially responsible funds are more sensitive to lagged positive returns than cash flows into conventional funds, and weaker evidence that cash outflows from socially responsible funds are less sensitive to lagged negative returns. These results indicate that investors derive utility from the socially responsible attribute, especially when returns are positive.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 42 , Issue 3 , September 2007 , pp. 683 - 708
Copyright
Copyright © School of Business Administration, University of Washington 2007

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