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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLe Fol, Gaëlle
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorSun, Ran
hal.structure.identifierDepartment of Mathematics and Statistics,Concordia University
dc.contributor.authorLu, Yang
HAL ID: 15957
ORCID: 0000-0002-7141-1048
dc.subjectFinancial Econometricsen
dc.subjectHedge Funds/Mutual Fundsen
dc.subjectMarket Microstructure/Liquidityen
dc.titleA self-exciting model of mutual fund flows: Investor Behaviour and Liability Risken
dc.typeDocument de travail / Working paper
dc.description.abstractenThis paper analyses the purchase and redemption behaviour of mutual fund investors and its implications on fund liquidity risk. We collect a novel set of proprietary data which contains a large number of French investors holding funds with various degrees of asset liquidity. We build a Self-Exciting Poisson model capturing fund flows' clustering effects and over-dispersion. The model improves the forecast accuracy of future flows and provides a reliable risk indicator (Flow Value at Risk.) Accordingly, we introduce the notion of liability risk where investor's behaviour increases mutual fund liquidity risk. We further decompose fund flows into investor categories. We find that investors exhibit high heterogeneous behaviour, and a lead-lag relation exists between them. Finally, we control flow dynamics for various economic conditions. We show that although flows evolve with economic conditions, investor's behaviour stays the main significant determinant of flows' randomness. Our findings encourage fund manager to adopt an ALM approach.en
dc.relation.ispartofseriestitleUniversité Paris-Dauphineen
dc.subject.ddclabelMarché à terme, options - MATIFen
dc.subject.classificationjelHALC - Mathematical and Quantitative Methods::C5 - Econometric Modeling::C55 - Large Data Sets: Modeling and Analysisen
dc.subject.classificationjelHALC - Mathematical and Quantitative Methods::C5 - Econometric Modeling::C58 - Financial Econometricsen
dc.subject.classificationjelHALG - Financial Economics::G1 - General Financial Markets::G11 - Portfolio Choice; Investment Decisionsen
dc.subject.classificationjelHALG - Financial Economics::G2 - Financial Institutions and Services::G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investorsen

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