Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns

By Roger M. Edelen, Jerold B. Warner. 2001

415 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3233ed7a99f4cdca98d8b943d15ef1a6188552d7

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Citations in the corpus

A note on foreigners' trading and price effects across firms (2004, background): “…flows include De Long et al. (1990), Warther (1995), Bohn and Tesar (1996), Brennan and Cao (1997), Choe et al. (1999), Karolyi (2002), Nofsinger and Sias (1999), Seasholes (2000), Edelen and Warner (2001), Froot et al. (2001), Bekaert et al. (2002), Kim and Wei (2002) and Portes and Rey (2002).”
Emerging Markets Finance (2003, background): “There is a growing body of research that studies the joint dynamics of capital flows and equity returns (see, for example, Warther, 1995; Choe et al., 1999; Froot et al., 2001; Clark and Berko, 1997; Edelen and Warner, 2001; Stulz, 1999; Edison and Warnock, 2001; Richards, 2002; Griffin et al., 2002”
Flights to Safety (2014, neutral): “They then estimate returns and transaction costs for each portfolio using the repeat-sales approach of Edwards et al. (2007). Bongaerts et al.”
Research in Emerging Markets Finance: Looking to the Future (2002, neutral): “35 Edwards (1987) examines the sequencing of economic reforms. 36 See Domowitz, Glen and Madhavan (1998), Cherkaoui and Ghysels (2003) and Lesmond (2002).”
Differences in herding: Individual vs. institutional investors (2017, neutral): “To save e do not report these results. trading volume (Wermers, 1999; Nofsinger and Sias, 1999; Edelen and Warner, 2001).”
Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds (2003, neutral): “As described in Edelen and Warner (2001), TrimTabs surveys funds in the morning and collects asset data for the prior day.”
Mutual Fund Risk and Market Share Adjusted Fund Flows (2013, neutral): “(1995), Edelen and Warner (2001), Goetzmann and Massa (2003), Boyer and Zheng (2009), and using Israeli data Ben-Rephael, Kandel and Whol (2011)).”
Conflicting Family Values in Mutual Fund Families (2013, background): “Based on Frazzini and Lamont (2008), Ben-Rephael, Kandel, and Wohl (2010a,b), and Edelen, Marcus, and Tehranian (2010), a counter-tilting strategy should be profitable.”
An Empirical Analysis of Stock and Bond Market Liquidity (2005, background): “For fund flows, Edelen and Warner(2001) and Boyer and Zheng (2002) show a positive association between aggregate flow and concurrent market returns, while Goetzmann and Massa (2002) document that fund flows affect price formation in equity markets.”
An examination of investor sentiment effect on G7 stock market returns (2013, neutral): “In panel C of table 4 and 5, we report the results of model 2 where we studied the effect of a change in the index of discount of CEEF on stock returns after considering industry-return indices as non-systematic asset pricing factors.(29) Our results of a change in index of discount of CEEF on value”