Market mispricings and portfolio allocation to mutual fund classes
- Theodore Syriopoulos
- … show all 1 hide
Rent the article at a discountRent now
* Final gross prices may vary according to local VAT.Get Access
Major factors affecting Greek household budget flows to mutual fund classes with different risk-return profiles are studied, applying the flexible functional form of the Almost Ideal Demand System to analyse allocation to equity, bond, balanced, and money market funds. An increase in household expenditure can have a positive impact; an adverse price change may erode budget benefits for a class. Volatility in possible “mispricings” in the underlying market valuation, with risk aversion attitudes, can result in asset reallocation. Cross-price effects provide insight on complementarity and substitutability between classes. Conclusions have useful policy implications for asset management and portfolio allocation strategies.
- Anderson, G. J., and R. W. Blundell. 1982. “Estimation and Hypothesis Testing in Dynamic Singular Equation Systems.”Econometrica 50: 1559–1571. CrossRef
- Anderson, G. J., and R. W. Blundell. 1983. “Testing Restrictions in a Flexible Dynamic Demand System: An Application to Consumers' Expenditure in Canada.”Review of Economic Studies 50: 397–410. CrossRef
- Bennett, A., and M. Young. 2000 “Determinants of Mutual Fund Flows: Evidence from New Zealand.”Discussion Paper, PACAP/FMA Meeting, Melbourne, Australia.
- Bera, A. K., R. P. Byron, and C. M. Jarque. 1981. “Further Evidence on Asymptotic Tests for Homogeneity and Symmetry in Large Demand Systems.”Economics Letters 8: 101–105. CrossRef
- Bewley, R. A. 1983. “Tests of Restrictions in Large Demand Systems.”European Economic Review 20: 257–269. CrossRef
- Blake, D., and A. Timmermann. 1998. “Mutual Fund Performance: Evidence from the UK.”European Finance Review 2: 57–77. CrossRef
- Blundell, R. 1988. “Consumer Behaviour: Theory and Application—A Survey.”Economic Journal 98: 16–55. CrossRef
- Campbell, J. Y., and J. H. Cochrane. 1999. “By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior.”Journal of Political Economy 107: 205–251. CrossRef
- Davidson, J. E. H., D. F. Hendry, F. Srba, and S. Yeo 1978. “Econometric Modelling of the Aggregate Time Series Relationship between Consumers’ Expenditure and Income in the United Kingdom.”Economic Journal 88: 661–692. CrossRef
- Deaton, A. S., and J. Muellbauer. 1980a. “An Almost Ideal Demand System.”American Economic Review 70: 312–326.
- Deaton, A. S., and J. Muellbauer. 1980b.Economics and Consumer Behaviour, Cambridge: Cambridge University Press.
- Edelen, R. M. 1999. “Investor Flows and the Assessed Performance of Open-End Mutual Funds.”Journal of Financial Economics 53: 429–466. CrossRef
- Edelen, R. M., and J. B. Warner. 1999. “Why are Mutual Fund Flows and Market Returns Related? Evidence from High-Frequency Data.”Working Paper, The Warton School, University of Pennsylvania.
- Fama, E.F., and M.H. Miller. 1972.The Theory of Finances. Illinois: Dryden Press.
- Federation Europeenne des Fonds et Societes d' Investissement. 2001.Statistical Data. www.FEFSI.com.
- Fortune, P. 1998. “Mutual Funds, Part II: Fund Flows and Security Returns.”New England Economic Review (January/February): 3–22.
- Goetzmann, W. N., and M. Massa. 1999. “Index Funds and Stock Market Growth.”NBER Working Paper, Series w, No. 7033.
- Hendry, D. F., and G. E. Mizon. 1980. “Serial Correlation As Convenient Simplification Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England.”Economic Journal 88: 549–563. CrossRef
- Laitinen, K. 1978. “Why Is Demand Homogeneity So Often Rejected?”Economics Letters 1: 187–191. CrossRef
- Markowitz, H. M. 1959.Portfolio Selection. New York: J. Wiley.
- Meinser, J. F. 1979. “The Sad Fate of the Asymptotic Slutsky Symmetry Test for Large Systems.”Economics Letters 2: 231–233. CrossRef
- Muellbauer, J. 1976. “Community Preferences and the Representative Consumer.”Econometrica, 44: 979–999. CrossRef
- Muellbauer, J. 1982. “Why do Empirical Demand Functions Violate Homogeneity Tests?”Discussion Paper No. 113, Birkbeck College, University of London.
- Muellbauer, J., and P. Pashardes. 1982. “Tests of Dynamic Specification and Homogeneity in Demand Systems.”Discussion Paper No. 125, Birkbeck College, University of London.
- Reid, B. 2000. “The 1990s: A Decade of Expansion and Change in the US Mutual Fund Industry.”Perspective 6: 6–14.
- Remolona, E. M., P. Kleiman, and D. Gruenstein. 1997. “Market Returns and Mutual Fund Flows.”FRBNY Economic Policy Review (July): 33–52.
- Santini, D. L., and J. W. Aber. 1998. “Determinants of Net New Money Flows to the Equity Mutual Fund Industry.”Journal of Economics and Business 50: 419–429. CrossRef
- Sawicki, J. 1996. “Investors’ Response to the Performance of Professional Fund Managers: Evidence from the Australian Wholesale Funds Market.”Working Paper, University of Western Australia.
- Sharpe, W. F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.”Journal of Finance 19: 425–442. CrossRef
- Sirri E. R., and P. Tufano. 1998. “Costly Search and Mutual Fund Flows.”Journal of Finance 50: 1589–1623. CrossRef
- Sirri E.R., and P. Tufano. 1992. “The Demand for Mutual Fund Services by Individual Investors.”Working Paper, Harvard Business School.
- Spanos, A. 1987.Statistical Foundations of Econometric Modelling. Cambridge: Cambridge University Press.
- Taylor, J. C., and K. W. Clements. 1983. “A Simple Portfolio Allocation Model of Financial Wealth.”European Economic Review 23: 241–251. CrossRef
- Union of Greek Institutional Investors. 2001.Statistical Data on the Mutual Fund Business. www.ugii.gr.
- Warther, V. A. 1995. “Aggregate Mutual Fund Flows and Security Returns.”Journal of Financial Economics 39: 209–235. CrossRef
- Zellner, A. 1962. “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias.”Journal of the American Statistical Association 57: 348–368. CrossRef
- Zietz, J., and R. Weichert. 1988. “A Dynamic Singular Equation System of Asset Demand.”European Economic Review 32: 1349–1357. CrossRef
- Market mispricings and portfolio allocation to mutual fund classes
Journal of Economics and Finance
Volume 26, Issue 3 , pp 249-266
- Cover Date
- Print ISSN
- Online ISSN
- Springer US
- Additional Links
- Industry Sectors
- Author Affiliations
- 1. Bank of Cyprus, 12 Faidrou Street, 11635, Athens, Greece