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

Author

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  • Xu, Ruihui
  • Zhang, Xuliang
  • Gozgor, Giray
  • Lau, Chi Keung Marco
  • Yan, Cheng

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.

Suggested Citation

  • Xu, Ruihui & Zhang, Xuliang & Gozgor, Giray & Lau, Chi Keung Marco & Yan, Cheng, 2023. "Investor flow-chasing and price–performance puzzle: Evidence from global infrastructure funds," Research in International Business and Finance, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000594
    DOI: 10.1016/j.ribaf.2023.101933
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    More about this item

    Keywords

    Infrastructure funds; Flow-chasing; Price-performance puzzle; Information asymmetry; Portfolio efficiency;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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