Chasing Their Tails: Inflow Momentum and Yield Chasing among Provident Fund Investors in Israel

Yehuda Porath () and Nadav Steinberg

Israel Economic Review, 2013, vol. 10, issue 2, 71-106

Abstract: This paper examines the short-term relationship between provident fund yields and investment in provident funds. Using Panel VAR regressions, we find that there is short-term momentum in provident fund yields and flows and investors engage in short-term yield chasing. We also find positive effect of flows on short-term yields. We reinforce these conclusions by dividing our sample to pre-crisis, crisis and post-crisis estimation and confirming our main results in the sub-periods. Additional evidence seems to suggest that investor yield chasing is affected by fund risk and management fees.

Date: 2013
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Related works:
Working Paper: Chasing Their Tails: Inflow Momentum and Yield Chasing among Provident Fund Investors in Israel (2011)
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