The Behavior of Investor Flows in Corporate Bond Mutual Funds
研究了1991-2014年间公司债券基金的资金流动，发现流动对绩效和宏观经济敏感，但流动-绩效关系非凸性；资金流动能预测基金绩效，且预测力源于绩效持续性，而非动量或价格压力；未发现投资者利用非公开信息。
This paper provides a comprehensive examination of money flows in corporate bond funds, which, although less researched, represent an important setting to study investor behavior. Based on a large sample of corporate bond funds over 1991–2014, we first show that flows are sensitive to both fund performance and macroeconomic conditions, but unlike equity funds, the flow–performance relationship is not convex. Then, we find that investor flows can predict fund performance. More importantly, the predictability cannot be explained by return momentum or price pressure but is subsumed by performance persistence. Finally, an examination of idiosyncratic flows reveals little evidence that fund investors use finer-than-public information. This paper was accepted by Lauren Cohen, finance.