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- W2105090511 abstract "We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds average $13 billion, controlling for previously documented flow determinants (e.g., capital-gain overhang). This movement of large amounts of money between fund categories is correlated with seasonality in investor risk aversion, consistent with investors preferring safer (riskier) investments in autumn (spring). We find consistent evidence in Canada, and in Australia where seasons are offset by six months." @default.
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- W2105090511 date "2012-01-01" @default.
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- W2105090511 title "Seasonal Asset Allocation: Evidence from Mutual Fund Flows" @default.
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- W2105090511 doi "https://doi.org/10.2139/ssrn.1907904" @default.
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