econsor www.econsor.eu Der Open-Access-Publikaionsserver der ZBW Leibniz-Informaionszenrum Wirschaf The Open Access Publicaion Server of he ZBW Leibniz Informaion Cenre for Economics Grose, Chrisos Aricle The deerminans of cash flows in Greek bond muual funds Inernaional Journal of Economic Sciences and Applied Research Provided in Cooperaion wih: Easern Macedonia and Thrace Insiue of Technology (EMaTTech), Kavala, Greece Suggesed Ciaion: Grose, Chrisos (2011) : The deerminans of cash flows in Greek bond muual funds, Inernaional Journal of Economic Sciences and Applied Research, ISSN 1791-3373, Vol. 4, Iss. 1, pp. 55-77 This Version is available a: hp://hdl.handle.ne/10419/66622 Nuzungsbedingungen: Die ZBW räum Ihnen als Nuzerin/Nuzer das unengelliche, räumlich unbeschränke und zeilich auf die Dauer des Schuzrechs beschränke einfache Rech ein, das ausgewähle Werk im Rahmen der uner hp://www.econsor.eu/dspace/nuzungsbedingungen nachzulesenden vollsändigen Nuzungsbedingungen zu vervielfäligen, mi denen die Nuzerin/der Nuzer sich durch die erse Nuzung einversanden erklär. Terms of use: The ZBW grans you, he user, he non-exclusive righ o use he seleced work free of charge, erriorially unresriced and wihin he ime limi of he erm of he propery righs according o he erms specified a hp://www.econsor.eu/dspace/nuzungsbedingungen By he firs use of he seleced work he user agrees and declares o comply wih hese erms of use. zbw Leibniz-Informaionszenrum Wirschaf Leibniz Informaion Cenre for Economics
Inernaional Journal of Economic Sciences and Applied Research 4 (1): 55-77 The Deerminans of Cash Flows in Greek Bond Muual Funds Chrisos Grose 1 Absrac This paper examines he facors ha affec inflows ouflows of capial in bond muual funds ha operaed in he Greek marke during he period 1997-2005. Invesors in bond muual funds do no seek for high gross reurns in order o deermine heir invesmen decisions in conras wih invesors in he sock marke. The risk weighed reurns however represen a crucial facor in invesmen decision making. Bond muual funds ha inves primarily in governmen bonds, appear o be more affeced by commissions charged by muual fund managers, since invesors avoid muual funds charging high commissions, while on he oher hand invesors ha prefer corporae bonds show reduced sensiiviy in he commissions charged by muual funds. Invesors in governmen bonds increase heir invesmen posiions when sock markes experience small or negaive reurns, a clue ha shows hey seek for safe heavens for heir invesmens. This phenomenon is more eviden when invesors face a emporary period of low sock marke reurns and is no as srong when low reurns in he sock markes are exended o a period of years. In hese cases invesmen posiions in bond muual funds appear o be par of a more permanen invesmen policy where bond invesmens are considered o be an inegral par of a diversified porfolio. Keywords: bond muual funds, commissions, fund flows JEL Classificaion: G15, G11, G12 1. Inroducion and lieraure review The evaluaion of he reurns characerisics of invesmens in bond muual funds is a opic of increasing ineres when aking ino accoun he size of he invesed funds in his invesmen caegory. There are a number of facors ha render he research presened in his paper imporan. The firs and mos apparen one is he size of his marke in Greece, given ha i exceeded he 5 billion euros margin during he period under consideraion, consiuing approximaely 3 percen of Greek GDP, and 30 percen of he oal of funds invesed in 1 Kavala Insiue of Technology, Deparmen of Accouning, Agios Loukas 65404, Kavala, Greece, e-mail: chrisosgrose@gmail.com 55 Volume 4 issue 1.indd 55 30/3/2011 10:24:55 πμ
Chrisos Grose muual funds in Greece. The majoriy of capial flows in he Greek marke are invesed in he bond marke. The bond muual funds marke offers he opporuniy o small and medium size invesmen porfolios as well as large porfolios o have equal opporuniies in high qualiy professional invesmen services. Invesmens in bonds are reaed by invesmens professionals, CFOs and individual invesors alike, as an inegral par of heir invesmens wih an a leas 50 percen overall weighing in heir oal invesmen porfolio. Inernaional research has shown hough ha even wihin his invesmen caegory, ha is considered of minimum or zero risk, here exis anomalies and alernaive invesmen opporuniies ha could poenially offer o invesors above marke average reurns (Drisakis e al., 2006). I is eviden herefore ha he analysis of he reurns of bond funds in he Greek marke is of major imporance o invesors, marke professionals and he academic communiy. Especially during he period under examinaion he Greek sock marke experienced flucuaions including a long lasing period of coninuous losses ha had driven a significan par of invesmen funds o he bond marke, hence rendering he presen analysis of cash flows deerminans of grea imporance boh for marke paricipans and academics. Moreover, he cyclical behaviour of sock reurns is a furher facor ha brings abou he imporan role of bond invesmens as an inegral par of every diversified invesmen sraegy (Papadamou and Siriopoulos, 2003). This paper aims a analyzing he facors ha influence inflows-ouflows of capial in hese invesmen porfolios. We sudy he impac of a number of seleced facors in deermining flows of capial in bond muual funds, boh when analyzing he whole sample of bond muual funds ha operaed in he Greek marke, as well as hose ha have similar invesmen characerisics based on a caegorizaion ha we performed. On he whole, resuls showed smaller sensiiviy of Greek invesors in bond muual funds, when compared o inernaional evidence, owards almos all of he seleced facors, ha can poenially be aribued o he limied mauriy of he marke, lack of available daa and specialized informaion o invesors. I is esimaed herefore ha he average invesor shows reduced sensiiviy o specific quaniaive and qualiaive aribues of he muual fund ha hey inves. The inernaional lieraure regarding bond funds focuses on heir performance issues (Blake e al., 1993). Oher papers focus on specific caegories of bond funds, sill sheding ligh on performance issues (Cornell and Green, 1991; Dezler, 1999; Kihn, 1996). Papers by McLeod and Malhora (1996) and LaPlane (2001) invesigae expense raio issues while window dressing in bond funds is addressed by Morey and O Neal (2006). The facors ha affec flows of capial in muual funds have been in he cenre of academic ineres for years, bu wih he focus being on equiy funds. Many of he facors invesigaed in hese papers could have an impac on bond muual funds flows as indicaed by Elon e al., (1995). According o Gruber (1996), invesors in socks look for a posiive hisorical rack record of he fund hey consider invesing in. Similar 56 Volume 4 issue 1.indd 56 30/3/2011 10:24:55 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds conclusions are drawn by Chevalier and Ellison (1997) and Sirri and Tufano (1998), ha add o ha he lack of lineariy in he reurns-flows relaion. This can be inerpreed as a endency of invesors in equiy porfolios o increase heir posiions in muual funds wih a good recen rack record bu no o wihdraw heir capial from muual funds wih a bad rack record. According o Sirri and Tufano (1996) invesors in equiy porfolios are more sensiive wih commissions for enry-wihdrawal from muual funds, given ha muual funds wih high commissions seem o experience reduced inflows of capial compared o muual funds wih similar reurns and characerisics, bu smaller commissions charged. Barber e al., (2005) invesigae he differen caegories of commissions charged by fund managers o invesors. They find ha commissions charged when enering a muual fund are negaively relaed wih inflows of capial, while no significan relaion is found when examining managemen fees and flows of capial. Wilcox (2003) reaches he same conclusions, while Ivkovic (2002) and Nanda e al., (2004) sudy spillover effecs, ha is muual funds ha have significan inflows because hey belong o an invesmen caegory ha aracs funds as a resul of high mean reurns irrespecive of individual fund reurns. Oher facors invesigaed by oher papers, including Jain and Wu (2000), Bergsresser and Poerba (2002), Del Guercio and Tkac (2002), James and Karceski (2002), are previous fund flows, he urnover raio, overall risks underaken, fund age. Greek research upon bond muual funds issues is limied o performance evaluaion issues (Milonas, 1999; Philippas, 2000), analysing he collecive reurns of bond muual funds, bu no facors ha influence fund flows. Drisakis e al., (2006) evaluae reurns using condiional and uncondiional models, finding ha bond muual funds in Greece on average do no manage o exceed he risk weighed reurns of he benchmark index. This paper aemps o move research, regarding he Greek bond muual funds marke, forward by invesigaing fund flows issues, which will be very useful, given ha he Greek marke is amongs he developed markes, a fac ha aracs increased flows of funds ino Greek bonds in general. This is quesionable naurally during his period given ha he deb crisis in Greece has reduced dramaically he size of he capial ha he Greek governmen raises from he markes. According o Greek officials hough his is only emporary and i should be considered very probable ha he Greek governmen will resume lending from he inernaional markes very soon. These marke changes render even more ineresing he analysis of he facors affecing flows in bond muual funds because afer governmen lending resumes we should be able o explain he facors ha affec invesor decisions. In he meanime, bond muual funds coninue o hold Greek governmen bonds in heir porfolios, and he curren analysis could give furher insighs o academics and marke paricipans as o wha heir invesmen policy is expeced o be bearing in mind he facors ha influenced hem in he near pas. 57 Volume 4 issue 1.indd 57 30/3/2011 10:24:55 πμ
Chrisos Grose 2. Facors affecing capial flows As indicaed above, invesmens in bond funds incorporae high commissions when compared especially wih he average risk weighed reurns achieved by bond muual fund managers, while heir operaion is quie complex for non professionals. For hese reasons, among ohers, poenial invesors confron unsurpassable difficulies when aemping o creae diversified bond porfolios wihou he experise of professionals. Thus, bond muual funds are he sole viable alernaive for hose wishing o inves in bonds. The Greek Insiuional Invesors Associaion repored ha inflows ino bond muual funds exceeded 1.5 billion euros during he period 2001-2003, summing up o 5.5 billion euros a he end of 2003, five fold up compared o he funds invesed in equiy muual funds. Despie he increasing aenion drawn o bond funds by invesors, he relaed research is very limied and especially wih regard o he facors ha influence inflows-ouflows of capial and wheher hese are mainly influenced by he rack record of each fund or from he commissions charged or oher facors. Even hough a large par of he perinen research invesigaes he facors influencing flows ino equiy muual funds, he facors affecing flows in bond funds are believed o be differen. This can be aribued o he differen profile and invesmen arges of invesors in bond funds. Therefore, in his paper here is an aemp o inerpre his differen behaviour of invesors in bond funds and especially in a small developed marke. The paper invesigaes he facors deermining cash flows in he Greek bond muual funds marke. For he purpose of he analysis bond muual funds are divided ino differen subcaegories depending on he composiion of each bond muual fund and he weighs aribued o governmen bonds, oher fixed ineres securiies, corporae bonds and erm deposis, Greek and foreign. Apar from analyzing he facors affecing he flows of capial, he paper divides bond muual funds depending on heir specific invesmen characerisics. The sample of Greek bond muual funds is divided ino hose ha a) inves above 90 percen of he funds under managemen in Greek bonds of various mauriies, b) inves 10-30 percen of heir asses in corporae bonds, Greek and foreign, c) inves 30-50 percen of heir asses in corporae bonds, Greek and foreign and d) inves over 50 percen in foreign corporae and governmen bonds. By caegorizing bond muual funds according o he composiion of heir invesed asses, i is made possible o invesigae he naure of he influence of he seleced facors boh for he sample as a whole and for each independen caegory as oulined above. The paper finds a negaive relaion beween asses under managemen in bond muual funds and flows of capial. Following he work of Del Guercio and Tkac (2002) i is found ha in conras wih equiy muual funds, invesors in bond funds do no prefer o inves in funds wih a posiive recen reurns hisory. The reurns, weighed by he incorporaed risk, play an imporan role hough. Also, invesors in all differen caegories of bond funds consider commissions o be an imporan facor deermining invesmen decisions. This means ha invesors avoid bond funds ha charge high commissions and 58 Volume 4 issue 1.indd 58 30/3/2011 10:24:55 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds are araced respecively by hose ha are relaively cheaper boh when eneringexiing as well as from he managemen fees perspecive. Also invesors in bond funds wih a significan porion of corporae bonds in heir invesed asses, seem o be more sensiive wih risk issues. Of exreme ineres is also he fac ha invesors view bond funds as an alernaive o equiy invesmens especially during imes when sock markes have enered bear marke periods. For he purpose of he analysis monhly daa for he period 1997-2005 were uilized, including in he sample he 42 bond muual funds ha operaed in he Greek marke during ha period, as well as anoher 33 muual funds ha had significan asses invesed in foreign bonds, mainly corporae. The period chosen is believed o be appropriae for he purpose of he analysis for wo reasons. The firs is he fac ha during his period an imporan number of bond muual funds operaed in he Greek marke, whereas he second one is ha during his 8 year period imporan evens ook place in he domesic and inernaional marke, he impac of which is expeced o be found in he resuls. Amongs he daa se, he available informaion includes he ile of each muual fund, he company operaing i, he iniiaion dae as well as he erminaion dae if i applies, he period of operaion in monhs, he asses under managemen, oal shares available, while he commissions for enry and exi as well as managemen expenses charged by fund managers o invesors are also calculaed. The paper uilises he collecive experience from previous papers and especially he mehodology followed by Zhao (2005), and includes furher facors ha migh explain flows of capial in bond muual funds, namely he caegory of invesmens where each muual fund in he daa se belongs, and he invesmen objecives of each muual fund. Therefore, in his paper he impac of alernaive invesmen opporuniies offered o an invesor wihin he same invesmen managemen firm in he form of differen muual funds of all possible ypes offered is examined. This means ha possibly he exisence of furher invesmen opporuniies wihin a paricular invesmen firm could be a facor wih a saisically significan impac, since his would offer invesors in bond muual funds wih invesmen alernaives wihin he same company during periods when an invesor considers appropriae o perform a redisribuion of his invesed capial, increasing/decreasing overall risk in periods of bull/bear equiy markes. Following Sirri and Tufano (1998), in rying o measure he reurns relaive o oher porfolios wih similar invesmen objecives during he same period, influencing capial flows is also included as a facor, he weighed gross average reurn of he oal muual funds wih he same invesmen objecive, aemping o capure invesors ques for absolue reurns. Mos papers in he relaed lieraure examine he impac of capial flows wih regard o he percenage change in asses under managemen of each muual fund, insead of he absolue inflows ouflows of capial in a muual fund and he corresponding changes in he oal asses managed. This is performed because i is naural o speculae ha larger muual funds should have bigger absolue money inflows ouflows compared 59 Volume 4 issue 1.indd 59 30/3/2011 10:24:55 πμ
Chrisos Grose o a small or newly founded muual fund. Absolue flows of capial hough appear o be a facor affecing inflows ouflows of capial. Therefore, following Del Guercio and Tkac (2002) absolue flows of capial are used as a dependen variable in a muliple regression when rying o capure he impac of he size of a muual fund in inflows ouflows of capial. So, we follow he inernaional pracice of calculaing flows of capial as he difference in oal money asses under managemen, excluding possible profis or losses achieved by he muual fund manager. We also exclude new money asses as a resul of mergers or acquisiions, so ha we only depic inflows ouflows originaing from invesors only: FLOW ASSETi, ASSETi, 1( 1 R ) FASSETi, (1) Where ASSET represens oal asses of porfolio i a he end of every 3-monh period, R represens he profis achieved by he porfolio during he 3-monh period and FASSET represens possible new asses arising from mergers-acquisiions during he 3- monh period. As we menioned above we also calculae percenage flows, as he percenage increase/decrease of asses under managemen as a resul of inflows/ouflows of capial, for comparison reasons: PFLOW FLOW ASSET (2) / When using PELOW variable as a dependen variable we also use he LASSET as an independen variable ha is calculaed as he logarihm of ASSET as a measure of he size of he bond muual fund. We also calculae he reurns of each porfolio relaive o oher porfolios wih similar invesmen objecives uilizing he variable POSITION, ha depics he reurns of each porfolio in he conex of he average reurns of he oher porfolios wih similar invesmen objecives. As a resul, we consruc hree differen variables based on his caegorizaion as hose ha are in he lower percenile of reurns, mean percenile of reurns and high percenile of reurns as follows: LOWPi, min POSITION,0.2 (3) MIDP min POSITION LOWPi,,0.6 (4) HIGHPi, min POSITION LOWPi, MIDPi,,0.2 (5) The variables analysed above measure he relaive reurns of each porfolio wih regard o he invesmen objecive. For his reason anoher variable, measuring he 60 Volume 4 issue 1.indd 60 30/3/2011 10:24:55 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds weighed average of he reurns of all he porfolios wih he same invesmen objecives, namely VARET, is included. The goal is o es wheher invesors look for absolue reurns. As a measure of he risk incorporaed in each bond porfolio we include he variable SDRET, ha measures he sandard deviaion of he monhly reurns of each porfolio in he previous 12 monhs. We also calculae he risk weighed reurns of each porfolio using he Sharpe Raio, calculaed as follows: i R f R SRATIO (6) SDRET i where R i and R f are he mean monhly reurns of each porfolio and he risk free reurn respecively, while SDRET i measures he sandard deviaion of he monhly reurns of each porfolio in he previous 12 monhs. We hen consruc similar o he variables above using he Sharpe Raio: LOWSRATIO min POSITION,0,2 (7) MIDSRATIO min POSITION LOWSRATIO,0,6 (8) HIGHSRATIO min POSITION LOWSRATIO MIDSRATIO,0,2 (9) Uilising previous experience by Blake e al., (1993) and Zhao (2005) we calculaed hree more variables based on he Sharpe Raio using monhly reurns daa for he las 24 monhs as follows. R a BONDEX i i i (10) where R i is he reurn of he bond porfolio above he monhly risk free rae, and BONDEX is he difference in he reurns of he bond porfolio relaive o he Bondex index ha is considered o be a good proxy of average reurns of a bond porfolio since he index conains a series of bonds of differen mauriies. The Bondex index was an index conaining a porfolio of bonds of various mauriies ha was used by bond fund managers as a measure of average bond marke reurns unil 2005, which covers he period ha we use in our daa se. Afer 2005 he BONDEX index was subsiued by mos fund managers by he MSCI Greek Bond index. For his reason we concluded ha i represens he only rusworhy measure using which we could caegorize, in differen average reurns caegories, bond muual funds ha operaed in he Greek marke during he period 1997-2005. The above regression model offers differen values of for each bond porfolio and he above menioned variables are modified as follows: 61 Volume 4 issue 1.indd 61 30/3/2011 10:24:55 πμ
Chrisos Grose LOWAi, min POSITION,0,2 (11) MIDA min POSITION LOWAi,,0,6 (12) HIGHAi, min POSITION LOWAi, MIDAi,,0,2 (13) We also include variables, for he age of he bond muual fund, meaning he ime ha elapsed since i was iniially se up ( AGE ), a variable for he poenial movemens beween alernaive muual funds wih similar characerisics (TURNRATIO ), a dummy variable for he commissions charged by muual funds (CDUMMY ), and finally a variable ha depics he poenial movemens beween oher muual funds offered wihin he same fund managemen firm (OBJECTIVES ), so ha we capure hese movemens and how hey influence inflows-ouflows of capial. The OBJECTIVES variable plays an imporan role in our model because we expec o find an influence in fund flows because Greek invesors are believed o swich beween differen muual funds wihin he same invesmen firm, especially since his is offered a no cos in many cases. Therefore, his alernaive for invesors is expeced o have a posiive influence on flows. We calculae he arihmeic averages of aribues of bond muual funds wih differen porfolio composiion and invesmen goals and he resuls are presened in Table 1. Aribues of he bond muual funds Table 1: Collecive saisical daa of bond muual funds wih differen invesmen objecives Toal sample Caegory 1 Caegory 2 Caegory 3 Caegory 4 ASSET (in million euros) 4.850 2.542 895 830 748 RAW (%) 4,164 3,297 3,584 4,510 3,982 SDRET (%) 1,339 1,231 1,349 1,328 1,512 SRATIO (%) 4,719 9,367 6,287 4,287 2,380 FLOW (in million euros) 281 359 127 456 267 PFLOW (%) 0,126 0,153 0,026 0,189 0,078 TURNRATIO (%) 92,57 95,46 80,27 83,03 102,78 AGE (in monhs) 41 54 46 36 29 Noes: Caegory 1 bond muual funds are he ones ha inves above 90% of heir asses in governmen bonds, Caegory 2 bond muual funds are hose ha inves 10-30% of heir asses in corporae bonds, Caegory 3 bond muual funds inves 30-50% in corporae bonds, while Caegory 4 bond muual funds inves over 50% of he managed asses in corporae bonds, Greek and foreign. The ASSET variable measures he asses under managemen in each bond funds caegory, he SDRET gives he sandard deviaion of monhly reurns collecively in each caegory. RAW depics he gross 3-monhly reurns in each caegory, SRATIO is he weighed reurns variable depending on he incurred risk, FLOW depics he mean flows of capial in million euros, PFLOW is he mean percenage flows, as a measure of he increase/decrease in managed asses, while TURNRATIO measures he urnover raio and AGE he mean age of he funds in each caegory. 62 Volume 4 issue 1.indd 62 30/3/2011 10:24:55 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds Bond muual funds ha inves heavily in governmen bonds and no more han 10 percen in corporae bonds have he highes mean of asses under managemen (2.54 billion euros), while he lowes mean asses under managemen are found in Caegory 4 bond muual funds (748 million euros) ha are he relaively newes, hus having he lowes mean. Highes mean reurns are found in Caegory 3 bond muual funds ha ake comparaively modes risks above zero risk invesmens (4.5%), and second in our calculaions end up Caegory 4 bond muual funds (4%) ha inves large par of heir asses in corporae bonds, Greek and foreign. The smalles reurns arise from hose bond muual funds ha inves primarily in Greek governmen bonds of various mauriies (3.3%). On he oher hand, he highes commissions are charged by Caegory 1 bond muual funds while Caegory 4 charge he lowes, evidenly in heir ques o increase heir asses. Caegory 4 muual funds show also he highes volailiy as measured by he SDRET variable, whereas he lowes respecively is found in hose ha inves over 90% of heir asses in governmen bonds. Caegory 2 bond funds keep apace. Also expecable is he fac ha lowes SRATIO raes are found in Caegory 1 funds and highes in Caegory 4 bond funds. Caegory 3 bond muual funds appear o have he highes mean flows and percenage flows, probably due o he increase in asses under managemen ha hey experienced afer 1999 when he bear marke in he Greek sock marke began. In Table A1 in he Appendix, he correlaions beween variables included in he models are presened. The resuls explain he relaion connecing he variables and he inflows/ouflows of capial. Flows of capial are among ohers, posiively relaed wih reurns, and negaively wih oher variables such as commissions and urnover raios. In order o deermine he naure and magniude of he influence of he above menioned variables we esimae he following model, including in our daa se all muual funds ha operaed in he Greek marke during he period 1997-2005: FLOW LOWP 5 SDRET 10 ASSET 1 MIDP 6 FLOW OBJECTIVES 11 2 HIGHP 7 FLOW AGE WARET 12 3 8 2 FLOW 3 TURNRATIO CDUMMY 13 9 4 u i (14) where u i is he random disurbance erm and is sable. We also include he flows of capial variable wih wo and hree ime lags o capure he AR(3) process ha oal flows follow, as i has also been documened by Warher (1995). When we use he variable for he percenage change of flows ( PFLOW i, ) in he model (13) we use he logarihm of he asses variable ( LASSETi, 1) wih one ime lag as well as he percenage flow variable wih one-wo and hree ime lags: 63 Volume 4 issue 1.indd 63 30/3/2011 10:24:56 πμ
Chrisos Grose PFLOW LASSET PFLOW PFLOW PFLOW i, 1 i, 1 2 i, 1 3 i, 2 4 i, 3 LOWP MIDP HIGHP AGE TURNRATIO 5 i, 1 6 i, 1 7 i, 1 8 i, 1 9 i, 1 SDRET OBJECTIVES WARET CDUMMY u 10 i, 1 11 i, 1 12 i, 1 13 i, 1 i i, (15) We esimae in separae regressions he Sharpe Raio variables (LOWSRATIO, MIDSRATIO and HIGHSRATIO), and he BONDEX reurns variables (LOWA,MIDA and HIGHA ) insead of LOWP, MIDP and HIGHP ha were included in (15): FLOW LOWSRATIO 5 TURNRATIO 9 CDUMMY 13 FLOW LOWA 5 ASSET SDRET 10 1 u ASSET 1 i MIDSRATIO 6 SDRET 10 MIDA 6 FLOW OBJECTIVES 11 2 FLOW 2 FLOW 2 HIGHSRATIO OBJECTIVES 11 HIGHA 7 7 3 FLOW AGE WARET 12 3 8 2 FLOW 4 3 AGE WARET 12 FLOW 8 3 TURNRATIO CDUMMY Afer he preceding analysis, our basic hypoheses are he following: a). Find a srong and posiive relaion beween he dependen variable and he ASSET variable, assuming ha funds wih significan funds under managemen should arac inflows of capial. b). Deermine a posiive relaion wih HIGHP, HIGHA, HIGHSRATIO variable and possibly MIDP, MIDA, MIDSRATIO in an aemp o deermine wheher invesors in bond muual funds seek for high hisorical reurns, in line wih previous evidence from invesors in equiy muual funds (Gruber, 1996). c). We expec o find ouflows of capial for bond muual funds ha incorporae more risk in heir overall porfolio as indicaed by he SDRET variable. d). I is expecable o capure a negaive relaion beween commissions charged for enry/wihdrawal from bond muual funds as indicaed by he CDUMMY variable. This endency should be sronger for bond muual funds invesing a significan par of he asses under managemen in corporae bonds. Blake e al., (1993) and Elon e al., (1995) find ha an increase in commissions has an equally negaive impac in he reurns of he bond muual fund. Therefore invesors ha resor o bond muual funds should normally choose bond muual funds wih low commissions. In conras, invesors in equiy muual funds show limied dependence from commissions issues. 13 9 4 u i (16) (17) 64 Volume 4 issue 1.indd 64 30/3/2011 10:24:56 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds e). We should find a posiive relaion beween he OBJECTIVES variable and flows of capial since he exisence of a variey of invesmen alernaives should influence inflows/ouflows of capial. In Table A2 in he Appendix, he collecive resuls of all models esimaed above (14 15 16-17) are presened, while using he whole available daa se. Wih regard o he hypoheses as oulined above, he firs ineresing finding is ha he esimaors regarding he size of he bond muual fund (ASSET) are negaive and saisically significan irrespecive of he model ha we use. This finding is in line wih he correlaion resuls shown in Table A1, and is in conras wih he widespread belief, ha led us ino using percenage flows, which claims ha invesors are posiively affeced by he size of he bond fund hey inves. Consequenly, his resul diminishes he imporance of percenage flows in he sudy and we focus on absolue money flows. Previous research has shown ha previous reurns of a bond muual fund are no indicaive of he fuure expeced reurns (Drisakis e al., 2006). I is found ha invesors are affeced by absolue reurns, since hey prefer muual funds wih high mean reurns, bu solely in he middle of he disribuion of reurns since he MIDP variable has a posiive and saisically significan esimaor. According o our findings, i should be noed ha an increase in mean reurns of 1 percen (100 basis poins) resuls in an increase in flows of capial of approximaely 500 h. euros in a bond muual fund. On he conrary, he esimaors for he LOWP and HIGHP variables are no saisically significan. Also, in line wih similar findings in sock muual funds markes (Ivkovic, 2002), i seems ha invesors do no punish muual funds wih a reurns hisory worse han he mean marke reurns, since no significan ouflow of capial is found. An ineresing finding is also he fac ha invesors in bond muual funds inves equally in he bond muual funds ha have he bes reurns and ha belong o all he differen caegories of bond muual funds ha we idenified. Similar conclusions are reached in he equiy muual funds as indicaed by previous research on developed markes (Wilcox, 2003). There are a number of clues indicaing ha he risk involved in each bond muual fund is an imporan facor influencing inflows/ouflows of capial. The firs is he SDRET variable, ha incorporaes he risk inheren in a muual fund, which has a marginally negaive esimaor. The imporance applied o risk facors is also eviden from he esimaed resuls for he Sharpe raio variables and he alpha coefficien variables. Models 16 and 17 show a posiive relaionship beween flows and weighed reurns, based on he crieria we imposed when calculaing he weighed reurns, wih he excepion of hose muual funds ha are a he end of he disribuion of reurns. Overall, he weighed reurns have an imporan role in he inflows/ouflows of capial, underlying he basic role of risk relaed facors in invesmen decisions. When invesigaing he influence of commissions in inflows/ouflows of capial i is found ha hey have a significan impac in flows and reurns. Previous evidence (McLeod and Malhora, 1996) shows ha in he US marke a one percen change in he commissions charged by bond muual funds could resul in a 1 million dollars ouflow of 65 Volume 4 issue 1.indd 65 30/3/2011 10:24:56 πμ
Chrisos Grose capial. I is also shown ha invesors are posiively affeced by he so called 12b-1 charges, which correspond o promoion expenses performed by bond muual funds. This is probably due o he fac ha invesors view posiively such expenses as hey arac new flows of capial and hey show proacive acion on he par of he fund managers. These resuls make eviden he need o sudy he impac of buying/selling commissions as well as operaing and promoion expenses separaely. These daa hough, apar from he buying/selling commissions, are no readily available by daa banks. There is furher evidence ha emphasizes he influence of commissions on invesmen decisions. Bond muual funds ha inves 30-50 percen of heir asses in corporae bonds have significan ouflows of capial when hey charge higher commissions han bond muual funds ha inves mainly in governmen bonds. Commissions and risk issues in general, appear o be imporan facors in he invesmen decisions of invesors in bond muual funds given he fac ha he upside poenial of bond funds is small compared o equiy muual funds. Therefore, especially for big invesmen porfolios, differences in commissions deermine flows, since even small changes can affec decisively overall reurns of a caegory of invesmens ha on average offers single figure reurns o invesors. The OBJECTIVES variable has a posiive influence on inflows/ouflows of capial since he abiliy o swich beween funds belonging o he same fund managemen company, is an alernaive ha is valued highly, especially during periods of coninuous changes in money markes. This is indicaive of he fac ha invesors view invesmens in muual funds in general as par of a diversified invesmen sraegy, where he abiliy o swich beween funds of differen invesmen objecives wih no or limied cos is imporan. Flows of capial show auocorrelaion since flows of capial wih ime lags are saisically significan and posiive facors in he flows of capial. Auocorrelaion is smaller he furher back we move, as he esimaors wih wo and hree ime lags are significanly smaller han he ones wih one ime lag. I should also be noed ha he above menioned conclusions do no apply for he oal daa se. This is because our daa se was esed, on differen regressions, relaive o he four differen caegories of bond funds idenified previously, depending on he weighing of differen caegories of bonds in heir porfolio. The hypohesis is ha some facors ha have saisically significan resuls for he oal sample migh no have equally as imporan resuls when esimaing he differen caegories of bond muual funds. More specifically, bond muual funds ha inves heavily in corporae bonds have sronger risk-reurns characerisics since invesors especially in his caegory of bond funds are more risk loving a leas compared o invesors in bond funds wih a srong governmen bond porfolio who are more risk averse. Previous work, by Goezmann e al., (2003) as well as Agnew and Balduzzi (2003), among ohers, concludes ha invesors in bond funds ofen make invesmen adjusmens beween differen invesmens as i was also found in our resuls indicaed by he posiive esimaors of he OBJECTIVES variable. Exending heir findings i is speculaed ha 66 Volume 4 issue 1.indd 66 30/3/2011 10:24:56 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds sock marke reurns could be a saisically significan explanaory facor of inflows/ouflows of capial in bond funds. I is aemped o capure his influence by including in he model a variable referring o he Greek sock marke reurns, separaely for each one of he four caegories of bond porfolios, ha was idenified previously. We use a ime series of reurns daa from he Ahens Sock Exchange General Index as he mos suiable measure of sock marke reurns in Greece. Using hree monhly reurns daa of he Greek General Index during he previous 8 quarers he GGI8QT variable is consruced. This variable is included in he 15 16-17 models. In Tables 2, 3 and 4 he resuls of hese models are presened, when using he risk weighed reurns, he Sharpe raio reurns and he BONDEX index reurns respecively (see below). Wih regard o he hypoheses oulined above, he impac of equiy marke reurns in inflows/ouflows of capial is saisically significan and negaive. This applies for all caegories excep for Caegory 4, namely he bond muual funds ha inves heavily in foreign, governmen and corporae, bonds. The above menioned finding is indicaive of he fac ha invesors rea invesmens in bond muual funds as an alernaive o equiy invesmens during periods when equiy reurns are negaive or sock markes experience flucuaions. When exending our analysis o sock marke reurns in he previous quarer solely and no in he previous eigh quarers of sock marke reurns, i is found ha his negaive relaion sill applies only for he bond muual funds ha inves over 90% of heir porfolio in governmen bonds. This is characerisic of he fac ha only his caegory of bond funds is considered o be an alernaive o equiy marke invesmens when equiy reurns are marginal or presen losses. Some facors appear o affec all caegories of bond muual funds. More specifically, flows of capial wih ime lag influence posiively flows of capial in all models. Risk weighed reurns have a srong impac on flows of capial in all models as well. The LOWP and HIGHP variables are no saisically significan irrespecive of he caegory of bond funds ha we esimae, indicaive of he fac ha invesors are neiher lured by high reurns funds nor punish hough low reurns porfolios. Cerain variables have a seady influence on he flows of capial in all bu one caegory of bond porfolios. Invesors are posiively affeced by absolue reurns excep when using he sample of he Caegory 4 bond porfolios ha inves over 50% in foreign bonds, where he influence of absolue reurns is minimal and non significan. The magniude of he asses under managemen has a negaive influence on he flows of capial in all caegories bu Caegory 4 bond porfolios where i appears o be posiive and saisically significan. This probably happens because especially for Greek invesors he alernaive of invesing ino foreign bonds, governmen and corporae, is a relaively new opporuniy and also because of he limied hisorical daa. Hence, invesors feel more secure when invesing in he major players in he marke, ha hold he mos significan porfolios. 67 Volume 4 issue 1.indd 67 30/3/2011 10:24:56 πμ
Chrisos Grose Table 2: Facors deermining cash flows in bond muual funds, based on heir invesmen objecives Variables Caegory 1 Caegory 2 Caegory 3 Caegory 4 ASSET (-1) -6,142*** -11,256*** -5,129*** 3,481*** FLOW (-1) 0,312*** 0,254*** 0,303*** 0,397*** FLOW (-2) 0,212*** 0,184*** 0,195*** 0,249*** FLOW (-3) 0,157*** 0,126*** 0,083*** 0,199*** LOWP (-1) -0,025 (0,204) 0,085 (0,352) -0,056 (0,185) 0,048 (0,367) MIDP (-1) 0,024* (0,045) 0,036* (0,039) 0,125 (0,087) 0,088 (0,109) HIGHP (-1) -0,036 (0,307) 0,113 (0,119) -0,047 (0,128) 0,049 (0,098) AGE (-1) -0,012*** 0,026** (0,015) -0,027* (0,039) 0,018* (0,042) TURNRATIO (-1) 0,009*** (0,002) 0,002** (0,012) 0,058 (0,179) 0,043 (0,218) SDRET (-1) 0,125 (0,364) 0,119 (0,284) -0,187 (0,099) -2,236*** OBJECTIVES (-1) 0,125 (0,249) 0,167** (0,015) 0,218* (0,037) 0,187 (0,369) WARET (-1) 0,928*** (0,0001) 1,116*** 0,855*** (0,001) 0,740*** GGI8QT (-1) -0,087** (0,015) -0,075** (0,019) -0,055** (0,026) -0,026* (0,046) CDUMMY -0,139*** -0,149*** -0,089* (0,039) -0,123 (0,161) INTERCEPT -0,919 (0,318) 1,215 (0,455) -1,857 (0,377) -0,761 (0,197) Overall R 2 0,2783 0,3254 0,3379 0,3980 Noes: Apar from he variables referred previously he able depics he esimaed resuls for he GGI8QR variable ha represens he Ahens Sock Exchange reurns during he previous eigh quarers. The res of he esimaed variables were analysed in Tables A1 and A2. Caegory 1 includes muual funds ha inves over 90% of heir managed asses in governmen bonds, Caegory 2 for hose ha inves 10-30% in corporae bonds, Caegory 3 for bond muual funds invesing 30-50% in corporae bonds and Caegory 4 for hose invesing over 50% of heir asses in corporae bonds of foreign origin mainly. p saisics are given in brackes. ***, ** and * are indicaive of resuls wih 1, 5 and 10 percen saisical significance respecively. 68 Volume 4 issue 1.indd 68 30/3/2011 10:24:56 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds Table 3: Facors deermining cash flows in bond muual funds, using he Sharpe raio Variables Caegory 1 Caegory 2 Caegory 3 Caegory 4 ASSET (-1) -6,356*** -10,268*** -5,849*** 4,502*** FLOW (-1) 0,311*** 0,250*** 0,302*** 0,394*** FLOW (-2) 0,213*** 0,184*** 0,194*** 0,247*** FLOW (-3) 0,155*** 0,126*** 0,081*** 0,200*** LOWSRATIO (-1) 0,036* (0,055) 0,032** (0,021) -0,026* (0,045) 0,022** (0,019) MIDSRATIO (-1) 0,034* (0,042) 0,029* (0,039) -0,127 (0,149) 0,038 (0,119) HIGHSRATIO (-1) 0,031* (0,020) 0,015** (0,017) -0,021* (0,039) 0,019* (0,028) AGE (-1) -0,015*** 0,025** (0,013) -0,024* (0,045) 0,015* (0,042) TURNRATIO (-1) 0,011*** (0,001) 0,005** (0,016) -0,033 (0,134) -0,054 (0,211) OBJECTIVES (-1) 0,124 (0,233) 0,165** (0,014) 0,214* (0,035) 0,193 (0,381) WARET (-1) 0,931*** (0,0000) 1,115*** 0,854*** 0,742*** GGI8QT (-1) -0,077** (0,015) -0,065* (0,014) -0,049** (0,016) -0,035* (0,041) CDUMMY -0,130*** -0,122*** -0,085** (0,017) -0,112 (0,110) INTERCEPT -0,854 (0,303) 1,195 (0,449) -1,131 (0,472) -0,545 (0,143) Overall R 2 0,2789 0,3248 0,3381 0,3988 Noes: The esimaed variables were analysed in Tables A1 and A2. Caegory 1 includes muual funds ha inves over 90% of heir managed asses in governmen bonds, Caegory 2, hose ha inves 10-30% in corporae bonds, Caegory 3 he bond muual funds invesing 30-50% in corporae bonds and Caegory 4 hose invesing over 50% of heir asses in corporae bonds, of foreign origin mainly. p saisics are given in brackes. ***, ** and * are indicaive of resuls wih 1, 5 and 10 percen saisical significance respecively. 69 Volume 4 issue 1.indd 69 30/3/2011 10:24:56 πμ
Chrisos Grose Table 4: Facors deermining cash flows in bond muual funds, using he a coefficien Variables Caegory 1 Caegory 2 Caegory 3 Caegory 4 ASSET (-1) -6,230*** -10,271*** -5,482*** 3,959*** FLOW (-1) 0,313*** 0,252*** 0,301*** 0,395*** FLOW (-2) 0,210*** 0,183*** 0,194*** 0,250*** FLOW (-3) 0,158*** 0,127*** 0,083*** 0,198*** LOWA (-1) 0,033* (0,051) 0,024** (0,019) -0,022* (0,048) 0,021** (0,014) MIDA (-1) 0,032* (0,047) 0,029* (0,033) -0,139 (0,150) 0,052 (0,166) HIGHA (-1) 0,028* (0,045) 0,016** (0,018) -0,019* (0,036) 0,018** (0,024) AGE (-1) -0,010*** (0,001) 0,023** (0,013) -0,025* (0,035) 0,021* (0,047) TURNRATIO (-1) 0,005*** 0,001*** (0,002) -0,039 (0,203) -0,055 (0,299) OBJECTIVES (-1) 0,123 (0,250) 0,161** (0,016) 0,217* (0,037) 0,191 (0,312) WARET (-1) 0,925*** (0,0001) 1,113*** 0,854*** 0,741*** GGI8QT (-1) -0,101*** (0,003) -0,072** (0,015) -0,067** (0,021) -0,041** (0,013) CDUMMY -0,127*** -0,123*** -0,082* (0,033) -0,082 (0,159) INTERCEPT -0,313 (0,412) 1,323 (0,298) -1,627 (0,307) -0,790 (0,186) Overall R 2 0,2784 0,3257 0,3378 0,3984 Noes: The esimaed variables were analysed in Tables A1 and A2. Caegory 1 includes muual funds ha inves over 90% of heir managed asses in governmen bonds, Caegory 2 for hose ha inves 10-30% in corporae bonds, Caegory 3 for bond muual funds invesing 30-50% in corporae bonds and Caegory 4 for hose invesing over 50% of heir asses in corporae bonds, of foreign origin mainly. p saisics are given in brackes. ***, ** and * are indicaive of resuls wih 1, 5 and 10 percen saisical significance respecively. 70 Volume 4 issue 1.indd 70 30/3/2011 10:24:56 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds The imporance of each variable and he naure of is influence on he flows of capial varies depending on he differen caegories of bond muual funds, underlying he imporance of invesigaing each model variable and caegory of bond muual funds separaely in order o draw definie conclusions useful o academics and marke paricipans alike. Flows of capial are posiively influenced by high mean gross reurns as indicaed by he posiive MIDP variable, alhough his is no he case in Caegory 3 and 4 bond muual funds. In hese caegories gross reurns do no appear o influence flows. Ye, Caegory 1 and 2 bond muual funds hold bond porfolios wih more similar characerisics, making gross reurns a more easy o esimae measure of he fund managers abiliies, hence gross reurns being a saisically significan facor. Caegories 1 and 2 of bond muual funds are also he ones which are mos influenced by he commissions variable. This happens because he homogeneiy of he bond porfolios in hese caegories makes more eviden he possible differences in reurns arising from differen commissions charged. Commissions play a crucial role in flows of capial ino bond muual funds in Caegory 4 as well, which migh be aribued o he fac ha hese funds have high operaing coss and commissions when bying/selling shares in he fund. Hence, invesors find differences in coss ha affecs heir invesmen decisions. Invesors in Caegory 4 bond muual funds are no affeced by absolue reurns, whereas risk weighed reurns play an imporan role due o he volailiy in his caegory of bond invesmens. I is comprehensible herefore ha hese markes, experiencing volailiy due o he exisence of corporae bonds in heir porfolio as well as high risk governmen bonds among ohers, are prone o poenial defauls and hence differences in reurns from year o year. Pas reurns herefore are no considered indicaive of fuure reurns, he risk herefore being he basic facor ha deermines invesmen decisions of shareholders. Anoher imporan diversificaion facor beween he idenified caegories of bond funds is he poenial opporuniies for swiching beween funds of differen invesmen objecives wihin he same invesmen managemen firm, as measured by he OBJECTIVES variable. Invesors in Caegories 1 and 2 appreciae highly he capabiliy o make porfolio reallocaions wihin he same managemen firm since especially hese low risk caegories of invesmens, are usually reaed as par of a diversified porfolio ha bears invesmen weighings depending on he condiions in he marke. Therefore, when condiions in equiy markes or oher high risk invesmen caegories are posiive, invesors are emped o have a larger weighing in hese high risk invesmens in heir overall invesmen porfolio. In conras, hey increase heir weighing in fixed or low income invesmens, like Caegory 1 and 2 bond muual funds, when high risk invesmens are a heir peak risk condiions. Invesors in Caegories 3 and 4, however, which have a larger proporion of corporae bonds, ha inherenly have larger risks, view hese invesmens as a poenially more specialized invesmen sraegy, where i is more unlikely ha hey migh be ineresed in making frequen swiches beween funds wihin 71 Volume 4 issue 1.indd 71 30/3/2011 10:24:56 πμ
Chrisos Grose he same invesmen managemen firm. I is also rue hough ha his finding can be aribued o he fac ha he invesed capial in Caegories 3 and 4 is considerably smaller compared o Caegories 1 and 2, which makes i more raional ha a bond fund shareholder migh no be eager o make porfolio reallocaions depending on he marke condiions, exacly because his invesed capial is small wih regard o he oal porfolio ha he holds. 3. Conclusion To sum up, here was an invesigaion of he facors ha influence inflows/ouflows of capial in bond muual funds, boh when using he whole sample of bond muual funds ha operaed in he Greek marke wihin he period 1997-2005, as well as for he subsamples of bond funds belonging o each one of he four caegories ha were idenified, depending on heir porfolio srucure of governmen bonds, Greek and foreign and corporae bonds. Invesors in bond muual funds do no consider high mean reurns as an imporan facor driving heir invesmen decisions, which is a major difference in he deerminans of flows of capial beween bond and equiy markes. However, he risk weighed reurns are an imporan deerminan of cash flows. Flows in muual funds invesing heavily in governmen bonds are affeced by commissions charged by fund managers, avoiding hose bond funds ha charge high commissions. On he conrary, invesors in bond funds ha have a large proporion of corporae bonds, are no affeced by commissions and operaing coss. Invesors also direc heir capial o bond funds wih small asses under managemen, in spie of he common belief ha only large funds arac inflows of capial, wih he excepion of bond funds ha inves in corporae bonds, where he size of he poenial fund appears o be an imporan facor deermining invesmen decisions. Greaer aenion o risk issues is demonsraed by hose ha inves in corporae and foreign bonds, since all he alernaive measures of weighed reurns are saisically imporan, while i is also found ha hose invesing mainly in governmen bonds regard his invesmen as par of an inegral and diversified invesmen sraegy, where reallocaions are no scarce. Invesors in governmen bonds increase heir posiions when equiy markes experience losses, resoring o invesmen safe havens. This is more eviden during periods ha he markes experience shor erm losses and no as inense when his is exended ino longer periods of ime. In he laer cases posiions in bond funds appear o be par of a long erm invesmen sraegy. Overall, afer he deailed analysis in his paper, we claim ha bond muual funds in small developed markes represen an invesmen caegory ha should be furher analysed, boh because of he size of asses under managemen as well as of he poenial differences in invesmen behaviour as depiced in our findings. The laer is found when analyzing he whole sample of Greek bond muual funds bu also when esimaing he 72 Volume 4 issue 1.indd 72 30/3/2011 10:24:56 πμ
The Deerminans of Cash Flows in Greek Bond Muual Funds four differen caegories of bond muual funds as idenified, depending on he weighings in governmen and corporae bonds, Greek and foreign. Useful exensions of his research should include he composiion of expenses charged o shareholders in bond muual funds, wheher hey refer o commissions for enrance/exi in muual funds, managemen or/and promoion expenses. This remains of exreme imporance due o he fac ha reurns on average are relaively small compared o invesmens in equiy, rendering he expenses issue very significan, since hey reduce ne reurns. In more advanced markes, like he US marke, his informaion is readily available o invesors and academics, herefore being able o deermine he reasons ha affec ne reurns more easily, hus enabling marke ransparency and equal informaion opporuniies o marke paricipans. References Agnew, J., Balduzz P., 2003, Wha Do We Do Wih our Pension Money? Recen Evidence from 401(k) Plans, Working Paper, College of William and Mary and Boson College. Barber, B. M., Odean, T., Zheng, L., 2005, Ou of Sigh, Ou of Mind: The Effecs of Expenses on Muual Fund Flows, Journal of Business, 78, 6, pp. 2095-2120. Bergsresser, D., Poerba, J., 2002, Do Afer-ax Reurns Affec Muual Fund Inflows? Journal of Financial Economics, 63, pp. 381-414. Blake, C., Elon, E., Gruber, M., 1993, The Performance of Bond Muual Funds, Journal of Business, 66, 3, pp. 371-403. Chevalier, J., Ellison, G., 1997, Risk Taking by Muual Funds as a Response o Incenives, Journal of Poliical Economy, 105, 6, pp. 1167-1200. Cornell, B., Green, K., 1991, The Invesmen Performance of Low-Grade Bond Funds, Journal of Finance, 46, pp. 29-48. Del Guercio, D., Tkac, P.A., 2002, The Deerminans of he Flows of Funds of Managed Porfolios: Muual Funds vs. Pension Funds, Journal of Financial and Quaniaive Analysis, 37, pp. 523-557. Dezler, M.L., 1999, The Performance of Global Bond Muual Funds, Journal of Banking and Finance, 23, pp. 1195-1217. Drisakis N., Grose Ch., and Kalyvas, L., 2006, Performance Aspecs of Greek Bond Muual Funds, Inernaional Review of Financial Analysis, 15, 2, pp. 189-202. Elon, E., Gruber, M., Blake, C., 1995, Fundamenal Economic Variables, Expeced Reurns, and Bond Fund Performance, Journal of Finance, 50, 4, pp. 1229-1256. Goezmann, W. N., Massa, M., Rouwenhors, K., 2003, Behavioral Facors in Muual Fund Flows, Working paper, Yale Universiy and INSEAD. Gruber, M., 1996, Anoher Puzzle: The Growh in Acively Managed Muual Funds, Journal of Finance, 55, 3, pp. 783-810. 73 Volume 4 issue 1.indd 73 30/3/2011 10:24:56 πμ