We explore whether style investing by mutual fund investors contributes to return comovement of stocks in the same style, classified by market capitalization and book-to-market ratio. We find that a stock's comovement with other stocks in its style is significantly greater when this stock is...

This paper explores the role mutual fund herding plays on the return comovement in Chinese stocks. The results show that mutual fund herding significantly reduces the return comovement among Chinese stocks, providing evidence for the existence of a rational herding behavior by mutual funds. We...

In this paper we investigate whether herding by actively managed equity funds affects their performances and flows over the 1980-2013 period. We show that during the herding quarter, on average, funds that trade with the herd benefit from this behavior. Although this does not directly translate...

We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as...

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible...

In this study, I compare the fund selection criteria used by investors in retail mutual funds with the criteria of investors in institutional mutual funds. I show several differences in investment flow patterns between retail and institutional funds, which are consistent with differences in...

We evaluate the economic consequences of mutual fund advisory misconduct from 2000 to 2015. An average of 31.25% reduction in monthly fund flows occurs in one year after the misconduct. The effect is more pronounced in funds facing strong investor monitoring. Although all types of misconduct...

This study examines the dynamic interaction among institutional investment (FII and Mutual Funds) and the stock market returns for India in a three factor vector autoregression (VAR) framework. The data set used in this study are in daily frequency spanning from 1st Jan 2002 to 31st July 2012...

We analyze mutual fund flow-performance relationship using a novel sample of Chinese mutual funds that trade in a volatile market environment. Consistent with existing literature, we find that the net flow to a fund is positively related to past fund performance. However, the positive...