Mutual Fund Attributes and Investor Behavior

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 respo...

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Bibliographic Details
Published in:Journal of financial and quantitative analysis 2007-09, Vol.42 (3), p.683-708
Main Author: Bollen, Nicolas P. B.
Format: Article
Language:English
Subjects:
Attributes
Cash flow
Data analysis
Financial investments
Financial research
Investment analysis
Investment funds
Investment trusts
Investors
Loyalty
Mutual funds
Net assets
P values
Quantitative analysis
Socially responsible mutual funds
Utility functions
Volatility
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Summary: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.
ISSN:0022-1090
1756-6916
DOI:10.1017/S0022109000004142