Seasonal Asset Allocation: Evidence from Mutual Fund Flows
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s002210901600082x
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 an investor preference for safe mutual funds in autumn and risky… read more here.
Keywords: asset allocation; seasonal asset; evidence; fund ... See more keywords