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

Nadav Steinberg and Yehuda Porath ()

No 2011.07, Bank of Israel Working Papers from Bank of Israel

Abstract: This paper examines the short-run 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.

Pages: 40 pages
Date: 2011-08
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https://boiwebrepec.azurefd.net/RePEc/boi/wpaper/WP_2011.07.pdf First version, 2011 (application/pdf)

Related works:
Journal Article: Chasing Their Tails: Inflow Momentum and Yield Chasing among Provident Fund Investors in Israel (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:boi:wpaper:2011.07

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