Purchase and Redemption Decisions of Mutual Fund Investors of Variable Life Insurance-Using Quantile Regression

Year 2014, Volume: 4 Issue: 4, 714 - 725, 01.12.2014

Nan Yu Wang Sen Sung Chen Chih Jen Huang Cheng Hsin Yen

Abstract

We identified the relationship between purchase and redemption behavior of flow-return and flow-fund characteristics within different group investors by using Quantile regression, we found that insured investors have reflect better performance than non-insured investor in our study. However, there is no significant difference between non-insured investor’ purchase behavior and performance. In addition, regarding fund characteristics, the relationship between insured investors and fund expense ratios was stronger than it was among the noninsured investors. Low expense ratios attract new investors because of improvements in performance, which indirectly enhances the sensitivity of the relationship between fund flows and performance when performance is strong.

Keywords

Variable Policies, Mutual Funds, Fund Performance, Investment Behavior, Quantile Regression