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| Author: | Edelen, R. M. Warner, J. B. |
| Title: | Aggregate price effects of institutional trading: a study of mutual fund flow and market returns |
| Journal: | Journal of Financial Economics
2001 : FEB, VOL. 59:2, p. 195-220 |
| Index terms: | Unit trusts Return on investment |
| Freeterms: | Mutual funds Price impact Institutional trading |
| Language: | eng |
| Abstract: | The authors study the relation between market returns and aggregate flow into U.S. equity funds, using daily flow data. The concurrent daily relation is positive. The tests show that this concurent relation reflects flow and institutional trading affecting returns. This daily relation is similar in magnitude to the price impact reported for an individual institution's trades in a stock. |
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