Abstract
In this paper, we compare the estimated monthly net cash flows to mutual fund following Sirri and Tufano (1998) and the reported net flows from the N-SAR filings. We show that the well accepted estimation of net flows would be underestimated when only small portion of the distribution from mutual funds are reinvested. The deviation of the reported net flows from the estimated net flows is significantly affected by the income distribution and the capital distribution at the 1 percent level but the underestimation of net flows is more sensitive to the capital distribution than the income distribution. Therefore, researchers should be cautious when they use the estimation formula for mutual fund flows especially in a month with distributions.
Original language | English |
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Pages (from-to) | 313-319 |
Number of pages | 7 |
Journal | Investment Management and Financial Innovations |
Volume | 11 |
Issue number | 4 |
State | Published - 2014 |
Bibliographical note
Publisher Copyright:© Hyung-Suk Choi, 2014.
Keywords
- Capital distribution effect
- Estimated fund flows
- Income distribution effect
- Reported fund flows