Investor flow-chasing and price–performance puzzle: Evidence from global infrastructure funds

Ruihui Xu, Xuliang Zhang, Giray Gözgör, Chi Keung Lau and Cheng Yan

Research in International Business and Finance, 2023, vol. 65, issue C

Abstract: Despite the importance and peculiarity of the infrastructure fund, determinants of infrastructure fund flow and the relation between fees and fund performance were poorly understood. This paper documents two new findings using a unique dataset for global infrastructure funds from January 2005 to June 2019. First, investor flow-chasing exists at the level of infrastructure fund companies, which is intensified by the opacity of information and uncertainty of returns. Second, infrastructure funds charge higher fees even when their before-fee performance is worse, which is explained by fund characteristics and year effects. Based on these findings, we put forward countermeasures from the perspectives of investors, regulators, investor protection managers, and fund managers, with incentive mechanism reforms to alleviate the price-performance puzzle, thereby improving the efficiency of infrastructure fund portfolios.

Keywords: Infrastructure funds; Flow-chasing; Price-performance puzzle; Information asymmetry; Portfolio efficiency (search for similar items in EconPapers)
JEL-codes: C15 G11 G12 G23 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000594

DOI: 10.1016/j.ribaf.2023.101933

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