Skip to main content
SpringerLink
Log in

Determinanten der Mittelzuflüsse bei deutschen Aktienfonds

  • Published:
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung Aims and scope Submit manuscript

Zusammenfassung

In dieser Arbeit werden die Determinanten der Zuflüsse deutscher Aktienfonds empirisch untersucht. Hierbei finden wir für die Jahre 1993 bis 2001 einige interessante Unterschiede zum US-Markt. Zunächst bestätigen wir die in der Literatur dokumentierte positiv konvexe Beziehung zwischen vergangener Performance eines Fonds und seinen Netto-Zuflüssen, die aber in Deutschland weniger stark ausgeprägt ist als in den USA. Wir zeigen außerdem, dass die Eigenschaften der Fondsgesellschaft, zu der ein Fonds gehört, einen wesentlichen Einfluss auf dessen Zuflüsse haben. Insbesondere zeigen wir erstmals, dass es einen Kannibalisierungseffekt innerhalb von Fondsfamilien gibt, der besonders zwischen Fonds zu beobachten ist, die im gleichen Marktsegment angeboten werden. Unsere Ergebnisse haben wichtige Implikationen für das Risikoverhalten von Fondsmanagern sowie die Produktpolitik von Fondsgesellschaften.

Summary

The determinants of German mutual fund flows have not been considered in the literature on Mutual Funds so far. In this paper we document some interesting differences between the German and the US mutual fund market. In our study, which covers the time period from 1991 to 2003, we confirm the positive and convex performance-flow-relationship, which is well documented for the US Mutual fund market. However, in Germany it is not as pronounced as in the US. Additionally we show that net inflows in German mutual funds depend vitally on the characteristics of the fund company the fund belongs to. Particularly, we are able to provide evidence of funds offered by the same family acting as rivals, which applies especially for funds belonging to the same market segment. Our results have important implications for the risk taking behaviour of fund managers and the product policy of fund families.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Literatur

  • Barber, Brad M./Odean, Terrance/Zheng, Lu (2005), Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows, in: Journal of Business, Vol. 78, S. 2095–2120.

    Article  Google Scholar 

  • Ber, Silke/Ruenzi, Stefan (2006), On the Usability of Synthetic Measures of Mutual Fund Net-Flows, CFR Working Paper.

  • Berk, Jonathan B./Green, Richard C. (2004), Mutual Fund Flows and Performance in Rational Markets, in: Journal of Political Economy, Vol. 112, S. 1269–1295.

    Article  Google Scholar 

  • Berk, Jonathan B./Xu, Jing (2004), Persistence and Fund Flows of the Worst Performing Funds, Working Paper.

  • Breuer, Wolfgang/Gürtler, Marc (1999), Performance-Messung mittels Sharpe-, Jensen- und Treynor-Maß — eine Anmerkung, in: Zeitschrift für Bankrecht und Bankwirtschaft, 11. Jg., S. 273–286.

    Google Scholar 

  • Brown, Keith C./Harlow, W. van/Starks, Laura T. (1996), Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry, in: Journal of Finance, Vol. 51, S. 85–110.

    Article  Google Scholar 

  • Brown, Stephen J./Goetzmann, William/Ibbotson, Roger G./Ross, Stephen A. (1992), Survivorship Bias in Performance Studies, in: Review of Financial Studies, Vol. 5, S. 553–580.

    Article  Google Scholar 

  • Chevalier, Judith/Ellison, Glenn (1997), Risk Taking by Mutual Funds as a Response to Incentives, in: Journal of Political Economy, Vol. 105, S. 1167–1200.

    Article  Google Scholar 

  • Dangl, Thomas/Wu, Youchang/Zechner, Josef (2005), Market Discipline and Internal Governance in the Mutual Fund Industry, Working Paper.

  • Deaves, Richard (2004), Data-Conditioning Biases, Performance, Persistence and Flows: The Case of Canadian Equity Funds, in: Journal of Banking and Finance, Vol. 28, S. 673–694.

    Article  Google Scholar 

  • Fama, Eugene F./MacBeth, James D. (1973), Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, Vol. 81, S. 607–636.

    Article  Google Scholar 

  • Gallaher, Steven/Kaniel, Ron/Starks, Laura (2005), Madison Avenue Meets Wall Street: Mutual Fund Families, Competition and Advertising, Working Paper.

  • Gaspar, Jose-Miguel/Massa, Massimo/Matos, Pedro (2006), Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization, in: Journal of Finance, Vol. 61, S. 73–104.

    Article  Google Scholar 

  • Goetzmann, William N./Peles, Nadav (1997), Cognitive Dissonance and Mutual Fund Investors, in: Journal of Financial Research, Vol. 20, S. 145–158.

    Article  Google Scholar 

  • Griese, Knut/Kempf, Alexander (2003), Lohnt aktives Fondsmanagement aus Anlegersicht?, in: Zeitschrift für Betriebswirtschaft, 73. Jg., S. 201–224.

    Google Scholar 

  • Guedj, Ilan/Papastaikoudi, Jannette (2004), Can Mutual Fund Families Affect the Performance of Their Funds?, Working Paper.

  • Hoppenstedt Fondsführer (1990)–(2003), Hoppenstedt Financial Information, bis 1996 unter dem Titel ‚Vademecum der Investmentfonds‘, Darmstadt.

  • Huang, Jennifer/Wei, Kelsey/Yan, Hong (2005), Participation Costs and the Sensitivity of Fund Flows to Past Performance, Working Paper.

  • Ippolito, Richard A. (1992), Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry, in: Journal of Law and Economics, Vol. 35, S. 45–70.

    Article  Google Scholar 

  • James, Duncan/Isaac, R. Mark (2000), Asset Markets: How They Are Affected by Tournament Incentives for Individuals, in: American Economic Review, Vol. 90, S. 995–1004.

    Article  Google Scholar 

  • Kaniel, Ron/Starks, Laura/Vasudevan, Vasudha (2005), Headlines and Bottom Lines: Attention and Learning Effects from Media Coverage of Mutual Funds, Working Paper.

  • Kempf, Alexander/Ruenzi, Stefan (2004), Die Qual der Wahl — Eine empirische Untersuchung zum Status Quo Bias im Fondsmarkt, in: Bank, Matthias/Schiller, Bettina (Hrsg.), Finanzintermediation — Theoretische, wirtschaftspolitische und praktische Aspekte aktueller Entwicklungen im Bank- und Börsenwesen, Stuttgart, S. 103–122.

  • Kempf, Alexander/Ruenzi, Stefan (2006a), Tournaments in Mutual Fund Families, CFR Working Paper.

  • Kempf, Alexander/Ruenzi, Stefan (2006b), Family Matters — The Performance Flow Relationship in the Mutual Fund Industry, CFR Working Paper.

  • Kempf, Alexander/Ruenzi, Stefan (2007), Status Quo Bias and the Number of Alternatives — An Empirical Illustration from the Mutual Fund Industry, erscheint in: Journal of Behavioral Finance.

  • Kempf, Alexander/Ruenzi, Stefan/Thiele, Tanja (2007), Employment Risk and Compensation Incentives as Determinants Managerial Risk Taking: Evidence from the Mutual Fund Industry, erscheint in: Journal of Behavioral Finance.

  • Krahnen, Jan Pieter/Theissen, Erik/Schmid, Frank A. (2006), Performance and Market Share: Evidence from the German Mutual Fund Industry, CFR Working Paper.

  • Nanda, Vikram/Wang, Z. Jay/Zheng Lu (2004), Family Values and the Star Phenomenon: Strategies of Mutual Fund Families, in: Review of Financial Studies, Vol. 17, S. 667–698

    Article  Google Scholar 

  • Navone, Marc A. (2003), Mutual Fund Competition with Misspecified Investment Objectives, Working Paper.

  • Patel, Jayendu/Zeckhauser, Richard J./Hendricks, Darryll (1994), Investment Flows and Performance: Evidence from Mutual Funds, Cross-Border Investments, and New Issues, in: Sato, Ryuzo/Levich, Richard M./Ramachandran, Rama V. (Hrsg.), Japan, Europe, and International Financial Markets: Analytical and Empirical Perspectives, Cambridge, S. 51–72.

  • Reichling, Peter/Trautmann, Siegfried (1998), External Performance Attribution with the Exponential Performance Measure, Working Paper.

  • Shiller, Robert J. (1984), Stock Prices and Social Dynamics, in: Brookings Papers on Economic Activity, Vol. 2, S. 457–498.

    Article  Google Scholar 

  • Siggelkow, Nicolaj (2003), Why Focus? A Study of Intra-Industry Focus Effects, in: Journal of Industrial Economics, Vol. 51, S. 121–150.

    Article  Google Scholar 

  • Sinha, Rajeeva/Jog, Vijay (2005), Fund Flows and Performance: A Study of Canadian Equity Funds, Working Paper.

  • Sirri, Erik R./Tufano, Peter (1998), Costly Search and Mutual Fund Flows, in: Journal of Finance, Vol. 53, S. 1589–1622.

    Article  Google Scholar 

  • Steiner, Manfred/Wittrock, Carsten (1994), Timing-Aktivitäten von Aktieninvestmentfonds und ihre Identifikation im Rahmen der externen Performance-Messung, Eine theoretische und empirische Untersuchung der Leistungen von Investmentfonds, in: Zeitschrift für Betriebswirtschaft, 64. Jg., S. 593–618.

    Google Scholar 

  • Wittrock, Carsten (2000), Messung und Analyse der Performance von Wertpapierportfolios: Eine theoretische und empirische Untersuchung, 3. Auflage, Bad Soden.

  • Wittrock, Carsten/Steiner, Manfred (1995), Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle: Eine Analyse des Anlageerfolges deutscher Aktieninvestmentfonds, in: Kredit und Kapital, 28. Jg., S. 1–45.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Seminar für Finanzierungslehre und Centre for Financial Research (CFR), Universität zu Köln, Albertus-Magnus-Platz, 50923, Köln, Deutschland

    Silke Ber (Diplom-Kauffrau),  Alexander Kempf &  Stefan Ruenzi

Authors
  1. Silke Ber
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Alexander Kempf
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Stefan Ruenzi
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Alexander Kempf.

Additional information

Die Autoren danken einem anonymen Gutachter, den Teilnehmern der Jahrestagung der Deutschen Gesellschaft für Finanzwirtschaft 2005 in Augsburg und des 10. Symposiums on Finance, Banking, and Insurance 2005 in Karlsruhe sowie Herrn Prof. Dr. Erik Theissen für zahlreiche wertvolle Verbesserungsvorschläge.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Ber, S., Kempf, A. & Ruenzi, S. Determinanten der Mittelzuflüsse bei deutschen Aktienfonds. Schmalenbachs Z betriebswirtsch Forsch 59, 35–60 (2007). https://doi.org/10.1007/BF03372780

Download citation

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF03372780

JEL-Classification

Keywords

Search

Navigation