Fund Returns and Net Redemptions under Incomplete Information in China

Shiqing Xie(Department of Finance, School of Economics, Peking University)
Zhongkuang Zhao(Department of Finance, School of Economics, Peking University)

Abstract

This paper delves into the nonlinear flow-performance curve under incomplete information both theoretically and empirically. We find positive slope and negative convexity in the curve of China. These results imply that funds with bad performances are more heavily punished with outflows, compared with the reward to funds with good performances.

Keywords

Open-end funds; Return; Redemption Puzzle; Incomplete information

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DOI: http://dx.doi.org/10.26549/jesr.v7i1.18643