The Impacts of Small-To-Mid Cap Equity Mutual Funds on Stocks: Evidence from Thailand
Post by MSF Chula at Sunday, 10 January 2021 06:10 PM

This paper analyzes the price pressure of small-to-mid cap equity mutual fund on stocks in Stock Exchange of Thailand (SET). The observed period is between 2015 to 2018. Mutual funds, which are facing large inflows, lead to increase their existing positions, which creates a positive price pressure on the traded stock along with driving the price up. On the other hand, mutual funds, which are facing large outflow, lead to decrease their existing positions that also create the negative price pressure along with driving the price down. We find an evidence that the mutual funds prefer to trade on the small cap equity, high P/E, and B/M along with high past return. We also investigate the relation between price pressure and investment return by constructing portfolios, which hold the traded stock in each period. It leads us to find that the portfolios generate a negative and significant abnormal return, while both SMB and HML variable is also significant with positive sign.

Last updated at Sunday, 10 January 2021 06:10 PM