Prior studies have found that a firm advertising for one of its products not only can increase the sales of the advertised product, but also spill over the advertising effect by increasing sales of other existing products in the same brand. This study examines whether a fund family spending money on one of its managed funds can attract more money flows into the advertised fund and bring the advertising spillover effect that attract more money flows into other members in the same family. Under the assumption that a fund family is a risk aversion investor endowed with a negative exponential utility function, this study finds a theoretical allocation proportion for a fund family¡¦s spending on advertising of individual funds under management, which is the function of the fund family¡¦s risk aversion level and initial wealth, as well as the mean and the variance of the expected returns generated by individual funds¡¦ advertising and the advertising spillover effect. Empirically, the evidence shows that an advertised fund can significantly attract greater cash flows and bring the significant advertising spillover effect on cash flows of other individual funds in the same family. After grouping funds into lower-, mid- and higher-performing funds based on funds¡¦ past performance, the results indicate that an advertised fund with mid performance can attract greater cash flows than an advertised fund with higher and lower performance. Moreover, an advertised fund can bring stronger advertising spillover effect on cash flows of higher-performing funds than lower- and mid-performing funds in the same family. Regarding with the family cash flows, the evidence shows that a fund family¡¦s aggregating advertising expenditures on managed funds can significantly increase the family cash flows and the advertising effect on the family cash flows is stronger in large families than in small families. The empirical results suggest that a fund family can benefit from its advertising expenditures and which allocating higher proportion for advertising of mid-performing funds than higher-performing funds could attract money flows into its managed funds more efficiently.

This thesis consists of three essays in behavioral finance: One for the Gain, Three for the Loss is a study of loss aversion in portfolio choice. Using historical returns, I find that the pain of a loss must be greater than three times the pleasure of a gain for investors to hold finitely leveraged portfolios. For lower rates of loss aversion, in particular those proposed in the earlier experimental literature, portfolio allocation to risky assets is infinite. All Guts, No Glory: Trading and Diversification among Online Investors explores the cross-sectional portfolio performance of 16,831 investors at an online discount brokerage firm. Investors hold undiversified portfolios, show a strong preference for risk, and trade aggressively. I show that investors with high portfolio turnover underperform their benchmarks. The degree of diversification, a proxy for investor skill, has a separate and distinct positive effect on performance. Equity Mutual Fund Flows and Stock Returns in Sweden uses time series methods to characterize the relation between unexpected flows to equity mutual funds and returns on the Swedish stock market. I find that concurrent unexpected flows and returns are strongly positively correlated. Unexpected flows have a distinct effect on returns even when other risk factors are considered. / Diss. Stockholm : Handelshögsk., 2004

Η παρούσα διπλωματική εργασία ερευνά την σχέση μεταξύ των συναλλαγών των μετοχικών αμοιβαίων κεφαλαίων και των χρηματιστηριακών αποδόσεων για την περίπτωση του Ελληνικού Χρηματιστηρίου για την χρονική περίοδο 1994-2002. Με την χρησιμοποίηση ποικίλων οικονομετρικών μεθόδων γίνεται έλεγχος για την ύπαρξη σχέσης συνολοκλήρωσης καθώς και κάποιας βραχυχρόνιας σχέσης μεταξύ αυτών των δύο παραγόντων, ενώ γίνεται προσπάθεια εντοπισμού κάποιας σχέσης αιτιότητας μεταξύ αυτών με βάση τον έλεγχο αιτιότητας του Granger. / This diplomatic thesis investigates the relationship between the trading of mutual funds and stock returns in the case of the Greek Stock Exchange Market, for the period 1994 - 2002. A variety of econometric methods was used to check the existence of a cointegration relationship and a kind of a short-run relationship between these two factors. Finally an attempt was made to identify causal relationships between them using the Granger causality test.