TAILIEUCHUNG - Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Poverty reduction has two fundamental requirements: enabling the poor and marginal groups to participate in decisionmaking about their own development, and giving them access to capital, technology, credit, and land, especially in the case of the rural poor. Programs to deliver these basics must be designed with accuracy and sophistication within a frame- work of macroeconomic social policies whose main objective is poverty reduction. Social gains made through specific programs will be unsus- tainable in the absence of reform at the state level and the democratic participation of the people | Seasonal Asset Allocation Evidence from Mutual Fund Flows Mark J. Kamstra Lisa A. Kramer Maurice D. Levi and Russ Wermers July 2012 Abstract This paper explores . mutual fund flows finding strong evidence of seasonal reallocation across funds based on fund exposure to risk. We show that substantial money moves from . equity to . money market and government bond mutual funds in the fall then back to equity funds in the spring controlling for the influence of past performance advertising liquidity needs capital gains overhang and year-end influences on fund flows. We find strong correlation between . mutual fund net flows and within-fund-family exchanges and a proxy for variation in investor risk aversion across the seasons. We find similar seasonal evidence in Canadian fund flows as well as in fund flows from Australia where the seasons are six months out of phase relative to Canada and the . While prior evidence regarding the influence of seasonally changing risk aversion on financial markets relies on seasonal patterns in asset returns we provide the first direct trade-related evidence. JEL Classification G11 Keywords time-varying risk aversion sentiment mutual fund flow seasonality net exchanges net flows risk tolerance risk aversion Wermers Corresponding Author Smith School of Business University of Maryland College Park Maryland 20850. Tel 301 405-0572 Fax 301 405-0359 Email rwermers@. Kamstra Schulich School of Business York University. Kramer Rotman School of Management University of Toronto. Levi Sauder School of Business University of British Columbia. We have benefited from valuable conversations with Devraj Basu discussant Hank Bessembinder Michael Brennan Raymond da Silva Rosa discussant Kent Daniel Ramon DeGennaro Roger Edelen Zekeriya Eser Henry Fenig Mark Fisher Kenneth Froot Rob Heinkel Woodrow Johnson Alan Kraus David Laibson Josef Lakonishok Vasant Naik Sergei Polevikov Jacob Sagi Rudi Schadt Neal Stoughton Rodney .

• Quỹ đầu tư
• market economy
• financial activities
• results distribution
• business environment
• Business
• Current status of potential
• Impacts of Market Economy
• Impacts of market economy and global digital communication network
• Global digital communication network
• Market Economy Vietnam
• The market economy on Vietnamese writers
• The role of the Vietnamese state
• The process of shifting to the market economy
• Shifting to the market economy
• The socialist oriented market economy
• The ordinary market economy
• The socialist oriented market economy in Vietnam
• Theory and practice
• Social oriented market economy
• Modern market economy
• The market based economy
• Socializing education and healthcare in Vietnam market economy
• Socializing education and healthcare
• Vietnam market economy
• Vietnam social and health education
• Education and health
• Renewed perception of Vietnam communist party on market economy
• Renewed perception of Vietnam communist party
• Vietnam communist party
• Central Party Committee’s
• Building institutions for a market economy
• Socialist orientation in Vietnam
• Building institutions
• Economic governance
• Market economy with socialist orientation
• Public administration reform
• Strengthening public administration reform
• Improve institutions for market economy
• Summary of Doctoral thesis
• Summary of Doctoral thesis in Economics
• State owned enterprises
• Transition to market economy in Vietnam
• Tóm tắt luận án Tiến sĩ
• Summary of economic thesis
• Political Economy
• Eonomic growth
• Social justice
• A socialist oriented market economy
• Doctoral dissertation
• Public administration
• Institutionnal capacity
• State administration adapting
• Market economy development
• International intergration
• Socialist oriented market economy
• Security of national borders
• Northern border provinces
• Leadership resolutions
• Độc quyền doanh nghiệp
• Kinh tế thị trường định hướng xã hội chủ nghĩa
• Kinh tế Việt Nam
• Quản lý kinh tế
• Economic the basic
• The market economy
• Market equilibrium
• How businesses work
• Government and the economy
• Business cycles
• The first step into macroeconomics
• Changes in Vietnam social structure in Doi Moi
• Changes in Vietnam social structure
• Vietnam social structure
• Lecture Economics
• Financial crisis
• Global market economy
• Tools of economics
• Economics defined
• Macroeconomic policy
• Lecture Managerial economics
• Managerial economics
• Government in the Market Economy
• Public goods
• Optimal allocation
• Solving Externalities
• Banking capital social policy
• Knowledge training
• Cadres of ethnic minorities
• Minorities and disadvantaged areas
• Industrial Revolution 4 0
• State's management role
• Vietnam's political
• Economic and cultural conditions
• Macro environment
• Civil service ethics
• Civil servants
• Political and social institutions
• Moral construction
• The measurement
• Structure of the national economy
• The national economy
• The open economy
• The asset market
• long Run economic performance
• Matching supply
• Matching demand
• Market shifts
• Market power
• Perfectly competitive markets
• Market structure
• Emerging economy
• Oil price shocks
• Stock market
• Vector autoregressive
• Stock market of developing economies
• Oil price
• International oil market dynamics
• Vietnam’s oil industry
• Impacts on the petroleum market
• Paper provides recommendations
• Barriers of development
• Energy Service Company (ESCO)
• Necessary conditions
• Official ESCO market
• The global economy
• Vietnam ESCO market status