The impact of monetary policy on the mutual fund flow-performance relationship: international evidence

Detalhes bibliográficos
Autor(a) principal: Tomé, Pedro Miguel Ramalho
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/19145
Resumo: In this study we use data from 36 countries in the 2000-2015 period to assess the impact of monetary policy on the flow-performance relationship. We find that consistent increases (decreases) in policy rates results in equity mutual funds outflows (inflows). We also find that the impact of policy on the flow-performance sensitivity is scarce. Nevertheless, the results for offshore markets suggest that investors tend to sell more poor performers when policy rate decreases. Contrarily, in periods when monetary policy tightens, investors in European mutual funds tend to buy fewer top performers. We also find that in periods of higher volatility and periods of decrease in the policy rate, investors tend to react more (less) to top (poor) performers. Hence, in this circumstances, monetary policy is a key determinant of the convexity of the flow-performance relationship.
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spelling The impact of monetary policy on the mutual fund flow-performance relationship: international evidenceMutual fundsFlow-performance relationshipMonetary policyBusiness CyclesIn this study we use data from 36 countries in the 2000-2015 period to assess the impact of monetary policy on the flow-performance relationship. We find that consistent increases (decreases) in policy rates results in equity mutual funds outflows (inflows). We also find that the impact of policy on the flow-performance sensitivity is scarce. Nevertheless, the results for offshore markets suggest that investors tend to sell more poor performers when policy rate decreases. Contrarily, in periods when monetary policy tightens, investors in European mutual funds tend to buy fewer top performers. We also find that in periods of higher volatility and periods of decrease in the policy rate, investors tend to react more (less) to top (poor) performers. Hence, in this circumstances, monetary policy is a key determinant of the convexity of the flow-performance relationship.Neste estudo utilizamos dados de 36 países no período 2000-2015 para avaliar o impacto da política monetária na relação entre fluxo e desempenho. Constatamos que aumentos (diminuições) consistentes das taxas de política monetária resultam em saídas (entradas) de fundos de investimento em ações. Verificamos também que o impacto da política monetária na sensibilidade ao desempenho dos fluxos é escasso. No entanto, os resultados para os mercados offshore sugerem que os investidores tendem a vender mais fundos com pior desempenho quando a taxa de política monetária diminui. Em contrapartida, nos períodos em que a política monetária se torna mais restritiva, os investidores em fundos de investimento europeus tendem a comprar menos fundos de investimento com melhor desempenho. Verificamos também que, em períodos de maior volatilidade e períodos de diminuição da taxa de política monetária, os investidores tendem a reagir mais (menos) aos melhores (maus) desempenhos. Assim, nestas circunstâncias, a política monetária demonstra ser um fator determinante da convexidade da relação fluxo-desempenho.2019-12-12T15:26:57Z2019-11-19T00:00:00Z2019-11-192019-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/19145TID:202319318engTomé, Pedro Miguel Ramalhoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:49:51Zoai:repositorio.iscte-iul.pt:10071/19145Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:24:31.919649Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
title The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
spellingShingle The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
Tomé, Pedro Miguel Ramalho
Mutual funds
Flow-performance relationship
Monetary policy
Business Cycles
title_short The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
title_full The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
title_fullStr The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
title_full_unstemmed The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
title_sort The impact of monetary policy on the mutual fund flow-performance relationship: international evidence
author Tomé, Pedro Miguel Ramalho
author_facet Tomé, Pedro Miguel Ramalho
author_role author
dc.contributor.author.fl_str_mv Tomé, Pedro Miguel Ramalho
dc.subject.por.fl_str_mv Mutual funds
Flow-performance relationship
Monetary policy
Business Cycles
topic Mutual funds
Flow-performance relationship
Monetary policy
Business Cycles
description In this study we use data from 36 countries in the 2000-2015 period to assess the impact of monetary policy on the flow-performance relationship. We find that consistent increases (decreases) in policy rates results in equity mutual funds outflows (inflows). We also find that the impact of policy on the flow-performance sensitivity is scarce. Nevertheless, the results for offshore markets suggest that investors tend to sell more poor performers when policy rate decreases. Contrarily, in periods when monetary policy tightens, investors in European mutual funds tend to buy fewer top performers. We also find that in periods of higher volatility and periods of decrease in the policy rate, investors tend to react more (less) to top (poor) performers. Hence, in this circumstances, monetary policy is a key determinant of the convexity of the flow-performance relationship.
publishDate 2019
dc.date.none.fl_str_mv 2019-12-12T15:26:57Z
2019-11-19T00:00:00Z
2019-11-19
2019-09
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/19145
TID:202319318
url http://hdl.handle.net/10071/19145
identifier_str_mv TID:202319318
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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