Affiliation:
1. Department of Finance, The University of Melbourne, Carlton, VIC, Australia
Abstract
We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a prespecified date in the future. Using fractions of young members, middle-aged members, and government co-contributions for low-income earners as instrumental variables, we find an insignificant effect of expected fund outflows on performance. A potential explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in expectations of future fund flows and this helps to limit direct and indirect costs in the rebalancing process. JEL Classification: G11, G12, G14, G23, G51
Subject
General Business, Management and Accounting
Reference37 articles.
1. Liquidity and leverage
2. Australian Taxation Office (ATO) (2020) Eligibility for the super co-contribution. Available at: https://www.ato.gov.au/individuals/super/in-detail/growing-your-super/super-co-contribution/?page=2 (accessed 13 September 2020).
3. Which Factors Matter to Investors? Evidence from Mutual Fund Flows
4. Mutual Fund Flows and Performance in Rational Markets
5. Assessing asset pricing models using revealed preference