Spillage Effect in the Finnish Mutual Fund Market

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School of Business | Bachelor's thesis
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Date

2023

Department

Rahoituksen laitos

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Mcode

Degree programme

Rahoitus

Language

en

Pages

18+3

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Abstract

This paper explores whether top or bottom-performing funds have a spillage effect on fund families or the associated fund provider. The paper replicates a popular US study and implements it in the Finnish market. In comparison to prior work in the Finnish market, this study uses significantly larger underlying data, differing modeling choices, and an update of two decades in the sample period. However, the paper does not find statistical significance for the spillover effect. Instead, it draws conclusions on the overall netflow relationship present in the Finnish market and investors’ neglect of fund-level characteristics in their investment decisions.

Tämä tutkimus jatkaa Suomen osakerahastomarkkinoiden kontekstissa aikaisempaa kirjallisuutta rahastojen välisestä tuotto-nettomerkintä suhteesta. Tarkastelun kohteena ovat nettomerkinnät, kun rahasto perheeseen kuuluu markkinoiden parhaiten/heikoimmin suoriutuvia rahastoja. Tämä tutkimus laajentaa ja tarkentaa Suomesta saatavilla olevaa tutkimusta aiheeseen liittyen. Kattavuudesta huolimatta, tulokset pysyvät samana nollahypoteesin jäädessä voimaan. Suomessa osakerahastoihin pankkien kautta sijoittavat eivät huomio historiallista tuottoa rahasto tai pankki tasolla sijoituspäätöksissään.

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Thesis advisor

Lof, Matthijs

Keywords

spillage effect, performance-flow relationship, mutual funds, investor irrationality

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https://urn.fi/URN:NBN:fi:aalto-202401281885

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