סמינר במימון חשבונאות

The printed media's impact on fund flows by class  

Joint work with Yossi Saadon (Bank of Israel)

Abstract: This study investigates how tone of daily print media affects the aggregate flows to and from different classes of mutual funds (government bonds, corporate bonds, stocks, and money market instruments). Using a proprietary data set, we find that tone of print media has a significant positive (negative) impact on the mean returns of net flows (conditional variances), except for the safer money market instrument funds that appear as a mirror image to other, riskier fund classes. These effects are primarily driven by outflows from these funds caused by extremely negative tone especially in non-business newspapers. Using daily fund flows allows us to observe 'fight to liquidity', as money flows from high-risk funds such as corporate bonds and stocks to safer funds, such as money market instruments when tone is negative. We are also able to observe 'risk taking' and 'risk attenuation' as money flows between high-risk funds and moderate risk funds, such as government bonds, partially in response to changes in media tone.

לפרטים נוספים: רחל טהר: racheltahar@tauex.tau.ac.il