Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287299 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Economics and Finance [ISSN:] 1938-9744 [Volume:] 45 [Issue:] 3 [Publisher:] Springer US [Place:] New York, NY [Year:] 2021 [Pages:] 544-571
Publisher: 
Springer US, New York, NY
Abstract: 
Mutual funds are connected with each other through overlapping portfolio holdings. We document that the performance of individual mutual funds is affected by spillover effects from fund flows to connected mutual funds. Spillover-effects are particularly pronounced during crisis periods, when a one standard deviation increase in flows to the tercile of funds with the highest overlapping portfolio holdings is associated with a monthly excess returns of 1.50%. Small cap stock funds are more heavily impacted, suggesting that the spillover effect is related to underlying asset liquidity. Moreover, we shed light on the dark side of diversification, as highly diversified funds are more exposed to the spillover risk factor.
Subjects: 
Fund Flows
Price Pressure
Spillover Effects
JEL: 
G11
G14
G24
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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