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Article

Equity Fund Flows and Performance around Economic Recessions

Ines Gargouri and Lawrence Kryzanowski
The Journal of Wealth Management Winter 2016, 19 (3) 99-115; DOI: https://doi.org/10.3905/jwm.2016.19.3.099
Ines Gargouri
is an assistant professor at the University of Quebec at Montreal in Montreal, QC, Canada.
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  • For correspondence: gargouri.ines@uqam.ca
Lawrence Kryzanowski
is a professor and senior research chair at Concordia University in Montreal, QC, Canada.
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  • For correspondence: lawrence.kryzanowski@concordia.ca
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Abstract

The relation between net fund flows and performance is examined around the two most recent U.S. economic recessions for U.S. equity funds. Post-recessionary period net fund flows are positively (negatively) correlated with absolute (peer-relative) performance for the early 2000s recession, and with absolute and peer-relative performance for the Great Recession (the most recent one) according to nonparametric measures. Empirical copulas in the extreme left tails indicate a positive dependence for the early 2000s recession, and independence for the Great Recession between performance and net fund flows.

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The Journal of Wealth Management: 19 (3)
The Journal of Wealth Management
Vol. 19, Issue 3
Winter 2016
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Equity Fund Flows and Performance around Economic Recessions
Ines Gargouri, Lawrence Kryzanowski
The Journal of Wealth Management Oct 2016, 19 (3) 99-115; DOI: 10.3905/jwm.2016.19.3.099

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Equity Fund Flows and Performance around Economic Recessions
Ines Gargouri, Lawrence Kryzanowski
The Journal of Wealth Management Oct 2016, 19 (3) 99-115; DOI: 10.3905/jwm.2016.19.3.099
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