The Dilution Impact of Daily Fund Flows on Open-end Mutual Funds

By Jason T. Greene, Charles W. Hodges. 2002

205 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1977c4d44bdcd207a16d32c9b81322c8e5ad748f

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Citations in the corpus

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows (2002, unknown): “Greene and Hodges (2002) discuss a simple way to correct the TNAs of such “preflow” funds.”
Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns (2001, methodology): “Our analysis in the Appendix suggests that the data sent to Trim Tabs by some funds do not fully re#ect the day's activity (see also Greene and Hodges, 2000).”
Day Trading International Mutual Funds: Evidence and Policy Solutions (2001, methodology): “It is also noted in Chalmers, Edelen, and Kadlec (1999), Edelen and Warner (1999), and Greene and Hodges (2000).”
Anticipated and repeated shocks in liquid markets (2013, unknown): “19 See Edelen and Warner (2001) and Greene and Hodges (2002) for a description of the construction of flows and its potential issues.”
Improved Forecasting of Mutual Fund Alphas and Betas (2007, background): “Papers by Chalmers, Edelen, and Kadlec (2001), Greene and Hodges (2002), Zitzewitz (2003), and Goetzmann, Ivkovic, and Rouwenhorst (2001) all show how investors can exploit stale net asset value prices in a variety of funds.”
The Price Pressure of Aggregate Mutual Fund Flows (2010, unknown): “Therefore, it is possible to observe the effect of uninformed 3Motivation for return chasing can be found in Chalmers, Edelen, and Kadlec (2001) and Greene and Hodges (2002), where return chasing is profitable due to stale prices used for net asset value (NAV) calculation.”
Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds (2003, unknown): “(2001), and Greene and Hodges (2002), this paper uses TT as its data source for daily flows, but like Goetzmann, et. al., it supplements the TT daily return data using a more comprehensive data source, in this case, data from quote.yahoo.com.”
Payoff complementarities and financial fragility: Evidence from mutual fund outflows $ (2010, background): “These costs, as documented and analyzed in a large body of literature (for example, Chordia (1996), Edelen (1999), Wermers (2000), Greene and Hodges (2002), Johnson (2004), Coval and Stafford (2006), Alexander, Cici, and Gibson (2007), and Christoffersen, Keim, and Musto (2007)), are quite…”