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Market mispricings and portfolio allocation to mutual fund classes

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  • Theodore Syriopoulos

Abstract

Major factors affecting Greek household budget flows to mutual fund classes with different risk-return profiles are studied, applying the flexible functional form of the Almost Ideal Demand System to analyse allocation to equity, bond, balanced, and money market funds. An increase in household expenditure can have a positive impact; an adverse price change may erode budget benefits for a class. Volatility in possible “mispricings” in the underlying market valuation, with risk aversion attitudes, can result in asset reallocation. Cross-price effects provide insight on complementarity and substitutability between classes. Conclusions have useful policy implications for asset management and portfolio allocation strategies. Copyright 0144 0147 V 2 2002

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  • Theodore Syriopoulos, 2002. "Market mispricings and portfolio allocation to mutual fund classes," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(3), pages 249-266, September.
    • Handle: RePEc:spr:jecfin:v:26:y:2002:i:3:p:249-266
    DOI: 10.1007/BF02759710
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